Search Results - subject:"Variance ratio test"

Evolving efficiency of stock returns and market conditions : the case from Croatia

Bosnjak, Mile - In: Montenegrin journal of economics 19 (2023) 1, pp. 107-116

Persistent link: https://www.econbiz.de/10013479592

Do short selling and margin trading affect price randomness?

Enkhzul, Mendee; Jun, Sang-Gyung - In: Global Business & Finance Review (GBFR) 26 (2021) 3, pp. 1-13

many equity markets since Lo and MacKinley (1988) work, which proposes the variance ratio test for the random walk …, Lo and MacKinley (1989) indicate that the variance ratio test is more reliable and more powerful than the two tests …. Ayadi and Pyun (1994) also acknowledge that the variance ratio test is more appealing than other traditional tests for the …

Persistent link: https://www.econbiz.de/10013185585

Do short selling and margin trading affect price randomness?

Enkhzul, Mendee; Jun, Sang-Gyung - In: Global business and finance review 26 (2021) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10012695861

The existence of random walk in the Philippine stock market : evidence from unit root and variance-ratio tests

Camba, Abraham C. <Jr>; Camba, Aileen L. - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 523-530

Persistent link: https://www.econbiz.de/10012671436

Is the capital market of Bangladesh efficient?

Rahman, Md. Habibour; Islam, Md. Ezazul; Hossain, Md. … - 2016

Persistent link: https://www.econbiz.de/10011576314

Variance Ratio Test of Random Walk for Foreign Trade: The Study in India during the Globalization Era of 1990s

Pradhan, Rudra Prakash - In: International Journal of Financial Research 3 (2012) 1, pp. 101-104

variance ratio test, developed by Lo and Mackinlay. The empirical results indicate that the series contain large permanent …

Persistent link: https://www.econbiz.de/10011267612

GLOBAL FINANCIAL CRISIS AND UNIT-LINKED INSURANCE MARKETS EFFICIENCY: EMPIRICAL EVIDENCE FROM CENTRAL AND EASTERN EUROPEAN COUNTRIES

Cristina, Ciumas; Diana-Maria, Chis; Mircea, Botos Horia - In: Annals of Faculty of Economics 1 (2012) 2, pp. 443-448

This paper empirically investigates the impact of the Global financial crisis on the efficiency of four Central and Eastern European emerging unit-linked insurance markets, applying the automatic variance ratio (AVR) test of Kim (2009) and variance ratio tests using ranks and signs by Wright...

Persistent link: https://www.econbiz.de/10010617367

An empirical analysis on the efficiency of the microfinance investment market

Inoue, Takeshi; Hamori, Shigeyuki - In: Economics Bulletin 31 (2011) 3, pp. 2725-2735

This paper empirically analyzes the market efficiency of microfinance investment funds. For the empirical analysis, we use an index of the microfinance investment funds and apply two kinds of variance ratio tests to examine whether or not this index follows a random walk. We use the entire...

Persistent link: https://www.econbiz.de/10009322934

A Variance Ratio Test of Random Walk in Energy Spot Markets

Cheong, Chin Wen - In: Journal of Quantitative Economics 8 (2010) January, pp. 105-117

ratio test, a less restrictive random walk process namely the martingale process is examined over the period 1998-2008. The …This study tests the random walk hypothesis in the spot prices of the petroleum products markets. Under the variance …

Persistent link: https://www.econbiz.de/10010850672

Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis

Charles, Amélie; Darné, Olivier; Kim, Jae H - Department of Economics and Finance, La Trobe Business … - 2010

hypothesis. Overall, we find that the wild bootstrap automatic variance ratio test shows the highest power against linear …

Persistent link: https://www.econbiz.de/10010615387