Belaire-Franch, Jorge; Opong, Kwaku - In: Review of Quantitative Finance and Accounting 24 (2005) 1, pp. 93-107
This study utilises tests based on ranks and signs suggested by Wright (2000) in addition to the traditional variance ratio test to examine the behaviour of some UK Financial Times Stock Exchange (FTSE) stock indices. The results suggest that the null hypothesis of martingale difference...