Variance ratio tests of random walk: An overview
Amelie Charles and
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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)
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Published in Journal of Economic Surveys, Wiley, 2009, 23 (3), pp.503-527. ⟨10.1111/j.1467-6419.2008.00570.x⟩
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Journal Article: VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00771078
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