Search Results - subject:"Random Walk Hypothesis"

SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET

WILCOX, DIANE; GEBBIE, TIM - In: International Journal of Theoretical and Applied … 11 (2008) 07, pp. 739-760

We investigate serial correlation, periodic, aperiodic and scaling behavior of eigenmodes, i.e., daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002.Periodic, or...

Persistent link: https://www.econbiz.de/10004977442

Market Efficiency for the Pakistan Stock Market

Chakraborty, Madhumita - In: South Asia Economic Journal 7 (2006) 1, pp. 67-81

Persistent link: https://www.econbiz.de/10010784306

Testing Permanent Income Hypothesis for Fiji

Rao, B Bhaskara - EconWPA - 2005

Hall $(1978)$ has stimulated considerable controversy and empirical work on testing the validity of the permanent income hypothesis $(PIH)$. Much of this work is on the developed countries. In the developing countries incomes show larger fluctuations and for the majority opportunities for...

Persistent link: https://www.econbiz.de/10005126452

Informative Prices, Rational Investors: The Emergence of the Random Walk Hypothesis and the Nineteenth-Century “Science of Financial Investments”

Preda, Alex - In: History of Political Economy 36 (2004) 2, pp. 351-386

Persistent link: https://www.econbiz.de/10010571078

Short-Term Autocorrelation in Australian Equities

Gaunt, Clive; Gray, Philip - In: Australian Journal of Management 28 (2003) 1, pp. 97-117

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple...

Persistent link: https://www.econbiz.de/10010769447

Variance ratio tests of the random walk hypothesis for European emerging stock markets

Smith, Graham; Ryoo, Hyun-Jung - In: The European Journal of Finance 9 (2003) 3, pp. 290-300

research, carried out for periods of lower turnover, which rejected the random walk hypothesis. …, Greece, Hungary, Poland, Portugal and Turkey, using the multiple variance ratio test. In four of the markets, the random walk … hypothesis is rejected because of autocorrelation in returns. For the Istanbul market, which had markedly higher turnover than …

Persistent link: https://www.econbiz.de/10005268696