VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW

被引：82
作者：
Charles, Amelie [1 ]
Darne, Olivier [2 ]
机构：
[1] Audencia Nantes Sch Management, Nantes, France
[2] Univ Nantes, LEMNA, F-44035 Nantes, France
来源：
JOURNAL OF ECONOMIC SURVEYS | 2009年 / 23卷 / 03期
关键词：
Random walk hypothesis; Stock market efficiency; Variance-ratio tests; EXACT NONPARAMETRIC-TESTS; STOCK-PRICES; MULTIPLE TESTS; MEAN REVERSION; EXCHANGE-RATES; WILD BOOTSTRAP; POWER; EFFICIENT; SIZE; HYPOTHESIS;
D O I：
10.1111/j.1467-6419.2008.00570.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：503 / 527
页数：25
相关论文
共 71 条
[1]   A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit [J].
Al-Khazali, Osamah M. ;
Ding, David K. ;
Pyun, Chong Soo .
FINANCIAL REVIEW, 2007, 42 (02) :303-317
[2]   AN IMPROVED HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J].
ANDREWS, DWK ;
MONAHAN, JC .
ECONOMETRICA, 1992, 60 (04) :953-966
[3]   HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].
ANDREWS, DWK .
ECONOMETRICA, 1991, 59 (03) :817-858
[4]  
[Anonymous], 1998, J EMPIR FINANC, DOI DOI 10.1016/S0927-5398(98)00006-1
[5]  
[Anonymous], 1998, J. Empir. Financ., DOI DOI 10.1016/S0927-5398(97)00015-7
[6]  
[Anonymous], 1997, The econometrics of financial markets, DOI DOI 10.1515/9781400830213
[7]   Some evidence of random walk behavior of Euro exchange rates using ranks and signs [J].
Belaire-Franch, J ;
Opong, KK .
JOURNAL OF BANKING & FINANCE, 2005, 29 (07) :1631-1643
[8]  
Belaire-Franch J., 2004, Ranks and Signs-based Multiple Variance Ratio Tests
[9]  
BROCKWELL P. J., 1996, Time Series: Theory and Methods
[10]  
Cajueiro D., 2006, Economic Systems, V30, P56, DOI DOI 10.1016/J.ECOSYS.2005.09.003
12345678