Variance ratio tests of random walk: An overview

This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America.

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Year of publication:	2009
Authors:	Charles, Amélie ; Darne, Olivier
Institutions:	HAL
Subject:	Random walk hypothesis \| Stock market efficiency \| Variance-ratio tests

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00771078 Published, Journal of Economic Surveys, 2009, 23, 3, 503-527
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898553