Testing the random walk hypothesis of stock indexes through variance-ratio
نویسندگان
چکیده
منابع مشابه
The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992–2007. The hypothesis is tested with new multiple variance ratio tests – Whang-Kim subsampling and Kim’s wild bootstrap tests – as well as the conventional multiple Chow-Denning test. We find that Class B shares for Chinese stock exchanges do n...
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ژورنال
عنوان ژورنال: Periodicals of Engineering and Natural Sciences (PEN)
سال: 2019
ISSN: 2303-4521
DOI: 10.21533/pen.v7i1.212