Journal
JOURNAL OF ECONOMIC SURVEYS
Volume 23, Issue 3, Pages 503-527Publisher
WILEY
DOI: 10.1111/j.1467-6419.2008.00570.x
Keywords
Random walk hypothesis; Stock market efficiency; Variance-ratio tests
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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.
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