VARIANCE RATIO TESTS OF THE RANDOM WALK HYPOTHESIS FOR SOUTH AFRICAN STOCK FUTURES

Graham Smith and Gillian Rogers

South African Journal of Economics, 2006, vol. 74, issue 3, 410-421

Abstract: The hypothesis that stock futures follow a random walk is tested for four stock index futures and a sample of 36 single stock futures traded on the JSE Securities Exchange, South Africa, using joint variance ratio tests based on (i) ranks and signs and (ii) wild bootstrapping. Overall, there is a high degree of weak‐form efficiency: all four stock index futures and twenty‐five of the sample of 36 single stock futures follow a random walk.

Date: 2006
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