The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets

Chaido Dritsaki ()
Additional contact information
Chaido Dritsaki: Technological Institute of Western Macedonia

Romanian Economic Journal, 2011, vol. 14, issue 40, 25-56

Abstract: This paper examines the random walk hypothesis in the Visegrad Countries stock market as emerging stock markets. The results both from autocorrelation analysis and unit root tests imply that monthly stock price indices of the Visegrad Countries follow the random walk process. This means that the stock markets of all the Visegrad Countries are efficient in the weak form. By employing cointegration and causality tests, we investigate the long-run and short-run relationships among these markets of the Visegrad countries and interpret the findings in the context of capital market integration.

Keywords: Random Walk Hypothesis; Weak Form Efficiency; Stock Market; Visegrad Countries; Unit root; Cointegration; Causality (search for similar items in EconPapers)
JEL-codes: C22 G10 G12 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.rejournal.eu/sites/rejournal.versatech. ... 83/je40-dritsaki.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rej:journl:v:14:y:2011:i:40:p:25-56

Access Statistics for this article

Romanian Economic Journal is currently edited by Ioan Popa, PhD

More articles in Romanian Economic Journal from Department of International Business and Economics from the Academy of Economic Studies Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Radu Lupu ().