Testing the Random Walk Hypothesis

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 6 in Modelling Financial Time Series, 2007, pp 133-173 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONTEST METHODOLOGYDISTRIBUTIONS OF SAMPLE AUTOCORRELATIONSAsymptotic limitsFinite samplesA SELECTION OF TEST STATISTICSAutocorrelation testsSpectral testsThe runs testTHE PRICE-TREND HYPOTHESISPrice-trend autocorrelationsAn examplePrice-trend spectral densityTESTS FOR RANDOM WALKS VERSUS PRICE-TRENDSCONSEQUENCES OF DATA ERRORSRESULTS OF RANDOM WALK TESTSStocksCommodities and currenciesAbout the rest of this chapterSOME TEST RESULTS FOR RETURNSPOWER COMPARISONSTESTING EQUILIBRIUM MODELSStocksSimulation resultsTestsOther equilibrium modelsConclusionINSTITUTIONAL EFFECTSLimit rulesBid-ask spreadsRESULTS FOR SUBDIVIDED SERIESCONCLUSIONSSUMMARYAPPENDIX 6(A) Correlation between test values for two related series

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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