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

Rudra Prakash Pradhan

International Journal of Financial Research, 2012, vol. 3, issue 1, 101-104

Abstract: The paper investigates the random walk properties of foreign trade. The data used in the empirical test correspond to monthly exports and imports of India in the globalization era of 1990s. The test of random walk employed in this study is the variance ratio test, developed by Lo and Mackinlay. The empirical results indicate that the series contain large permanent component and small temporary component for both exports and imports. This suggests that foreign trade follows a random walk.

Keywords: Variance Ratio Test; Random Walk; Globalization; Foreign Trade (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:3:y:2012:i:1:p:101-104

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