Journal ArticleDOI
World stock markets: some random walk tests
TLDR
In this article, the authors present a random walk test for the stock market and the results show that the test shows that the random walk tests do not work well for many stock markets.Abstract:
(1982). World stock markets: some random walk tests. Applied Economics: Vol. 14, No. 5, pp. 515-531.read more
Citations
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Journal ArticleDOI
Market efficiency in developing countries: a case study of the nairobi stock exchange
John P. Dickinson,Kinandu Muragu +1 more
TL;DR: In this paper, the authors used the traditional random walk methodology of serial correlation and runs tests as applied by Fama (1965), Cooper (1982), and Taylor (1986) rather than the newer methodologies of variance ratios [Lo and MacKinlay (1988)] and of regression [Jegadeesh (1990)].
Journal ArticleDOI
Return predictability in African stock markets
Joe Appiah-Kusi,Kojo Menyah +1 more
TL;DR: In this article, a nonlinear autoregressive process with conditional heteroscedasticity was used to investigate the weak-form pricing efficiency of 11 African stock markets, including Nigeria, Ghana, Ivory Coast, and Swaziland.
Journal ArticleDOI
An empirical analysis of the equity markets in China
Rajen Mookerjee,Qiao Yu +1 more
TL;DR: In this article, the newly established stock markets in Shanghai and Shenzhen were subjected to tests of market efficiency, utilizing daily stock price data, and the authors concluded that there are significant inefficiencies present on both exchanges.
Journal ArticleDOI
Seasonality, risk and return in daily COMEX gold and silver data 1982–2002
Brian M. Lucey,Edel Tully +1 more
TL;DR: This paper examined seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods using COMEX cash and futures data, and found that the evidence is weak for the mean but strong for the variance.
References
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Book
Spectral analysis and its applications
TL;DR: In this paper, Spectral Analysis and its Applications, the authors present a set of applications of spectral analysis and its application in the field of spectroscopy, including the following:
Journal ArticleDOI
The random character of stock market prices
TL;DR: This paper showed that the text, first written in 1964, is still relevant and relevant at the beginning of the 21st century, which is known to a generation of financial economists having marked the beginnings of the field known as financial econometrics.
Book
Spectral analysis of economic time series
Clive W. J. Granger,M. Hatanaka +1 more
TL;DR: In this article, Spectral Analysis of Economic Time Series (PSME-1) is described and the description for this book, Spectral analysis of economic time series, is given.