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Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets
16 references·16 citing·31 second hopsampled
Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets (1999)Random Walks and Market Efficiency Tests:…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesJournal of the American Statistical Association (1995)Journal of the American Stati…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Foundations of Finance. (1977)Foundations of Finance.EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Testing for efficiency in the Saudi stock market: does corporate governance change matter? (2020)Testing for efficiency in the…Comparing the effectiveness of deep feedforward neural networks and shallow architectures for predicting stock price indices (2019)Comparing the effectiveness o…Stocks for the long run? Evidence from emerging markets (2014)Stocks for the long run? Evid…The prospects of BRIC countries: Testing weak-form market efficiency (2013)The prospects of BRIC countri…Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets (2011)Weak-form Market Efficiency a…Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices (2011)Predictability and Persistenc…Testing the Weak-Form Efficiency of the Palestinian Securities Market (2009)Testing the Weak-Form Efficie…Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk (2009)Extreme observations and risk…Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market (2008)Stock-market efficiency in th…Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour (2006)Weak-Form Market Efficiency i…Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets (2005)Financial Liberalization and …Dependence and mean reversion in stock prices: The case of the MENA region (2005)Dependence and mean reversion…Testing for predictability in emerging equity markets (2004)Testing for predictability in…Weak-form market efficiency in European emerging and developed stock markets (2003)Weak-form market efficiency i…The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case (2003)The random walk hypothesis an…Tests of random walks and market efficiency in Latin American stock markets: An empirical note (2003)Tests of random walks and mar…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multifactor Explanations of Asset Pricing Anomalies (1996)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1977Foundations of Finance.1,128 cited

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1996
Mean Reversion in Stock Prices
1,083 cited

Cited by

  • 2004Testing for predictability in emerging equity markets111 cited
  • 2011Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets86 cited
  • 2019Comparing the effectiveness of deep feedforward neural networks and shallow architectures for predicting stock price indices77 cited
  • 2013The prospects of BRIC countries: Testing weak-form market efficiency76 cited
  • 2003The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case66 cited
  • 2006Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviour59 cited
  • 2009Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk52 cited
  • 2008Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market49 cited
  • 2003Weak-form market efficiency in European emerging and developed stock markets43 cited
  • 2014Stocks for the long run? Evidence from emerging markets41 cited
  • 2005Dependence and mean reversion in stock prices: The case of the MENA region38 cited
  • 2011Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices36 cited
  • 2003Tests of random walks and market efficiency in Latin American stock markets: An empirical note36 cited
  • 2005Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets33 cited
  • 2020Testing for efficiency in the Saudi stock market: does corporate governance change matter?33 cited
  • 2009Testing the Weak-Form Efficiency of the Palestinian Securities Market31 cited