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

A deep learning test of the martingale difference hypothesis

Bastos, João A. - In: Journal of forecasting 44 (2025) 6, pp. 1993-2001

Persistent link: https://www.econbiz.de/10015464749

Predicting next trading day closing price of ASEAN+6 stock indices using artificial neural networks : evidence from Lunar New Year effect

Surachai Chancharat; Tukaew, Sutida - In: International journal of economic policy in emerging … 20 (2024) 3/4, pp. 237-245

Persistent link: https://www.econbiz.de/10015402769

Do stock prices follow random walk over day and night? : evidence from Chinese stock market

Wan, Xiaoyuan; Shen, Sichao; Zhang, Jiachen - In: Applied economics 56 (2024) 60, pp. 9117-9120

Persistent link: https://www.econbiz.de/10015142015

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

Covid-19 and informational efficiency in Asian emerging markets : a comparative study of conventional and Shariah-compliant stocks

Raza, Muhammad Wajid; Said, Bahrawar; Elshahat, Ahmed - In: International journal of Islamic and Middle Eastern … 16 (2023) 3, pp. 576-592

Persistent link: https://www.econbiz.de/10014339875

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

The Chinese government bond markets : foreign investments and market efficiency

Liu, Kerry - In: Global journal of emerging market economies 14 (2022) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10012821931

Martingale effect of conventional vs. Islamic stock indices : evidence from the UAE

Marashdeh, Hazem; Ashraf, Sania - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 3, pp. 279-290

Persistent link: https://www.econbiz.de/10013326345

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