Variance ratio tests of random walk: An overview

Amelie Charles and Olivier Darné

Post-Print from HAL

Abstract: This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America.

Keywords: Random walk hypothesis; Stock market efficiency; Variance-ratio tests (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://hal.science/hal-00771078
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

Published in Journal of Economic Surveys, 2009, 23 (3), pp.503-527. ⟨10.1111/j.1467-6419.2008.00570.x⟩

Downloads: (external link)
https://hal.science/hal-00771078/document (application/pdf)

Related works:
Journal Article: VARIANCE‐RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009)
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:hal:journl:hal-00771078

DOI: 10.1111/j.1467-6419.2008.00570.x

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().