Random Walks in Stock Exchange Prices and the Vienna Stock Exchange

Peter Huber

No 2, Economics Series from Institute for Advanced Studies

Abstract: This paper uses the multiple variance ratio test procedure developed by Chow and Denning (1993) to test for a random walk of stock returns on the Austrian Stock Exchange. I find that with daily data the test rejects the random walk hypothesis at all conventional significance levels for each and every title and for both indeces tested. Individual shares, however, do seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices.

JEL-codes: G14 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1995-01
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Citations: View citations in EconPapers (4)

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https://irihs.ihs.ac.at/id/eprint/808 First version, 1995 (application/pdf)

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