The Taiwan stock market does follow a random walk

Dat Bue Lock ()
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Dat Bue Lock: Feng Chia University

Economics Bulletin, 2007, vol. 7, issue 3, 1-8

Abstract: Applying the Lo and MacKinlay variance ratio test on the weekly returns from the Taiwan stock market from 1990 to mid 2006, I obtained results strongly indicative of the fact that not only does the Taiwan composite stock index move in a random walk fashion, returns for the individual stocks do so as we. Previous authors employing the same methodology obtained opposite results, namely, that the movements of the Taiwan stock composite index do not follow a random walk.

Keywords: random; walk (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
Date: 2007-03-05
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Citations: View citations in EconPapers (11)

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