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Variance ratio tests of the random walk hypothesis for European emerging stock markets
6 references·16 citing·43 second hop
Variance ratio tests of the random walk hypothesis for European emerging stock markets (2003)Variance ratio tests of the random walk h…The Econometrics of Financial Markets (2012)The Econometrics of Financial…TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS (1995)TESTS OF RANDOM WALK AND MARK…A simple multiple variance ratio test (1993)A simple multiple variance ra…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets (2020)Testing the Weak Form of Effi…Random Walks and Market Efficiency in Chinese and Indian Equity Markets (2019)Random Walks and Market Effic…Time-varying long term memory in the European Union stock markets (2015)Time-varying long term memory…Price discovery process in the emerging sovereign CDS and equity markets (2014)Price discovery process in th…Market efficiency in emerging stock markets: A case study of the Vietnamese stock market (2014)Market efficiency in emerging…Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? 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this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1993A simple multiple variance ratio test496 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1995TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS288 cited

Cited by

  • 2007A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit120 cited
  • 2011The changing and relative efficiency of European emerging stock markets109 cited
  • 2014Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? Evidence From Major Global Index Families93 cited
  • 2008Efficient market hypothesis: evidence from a small open-economy80 cited
  • 2015Time-varying long term memory in the European Union stock markets70 cited
  • 2013Market efficiency of the Post Communist East European stock markets69 cited
  • 2019Random Walks and Market Efficiency in Chinese and Indian Equity Markets59 cited
  • 2008LIQUIDITY AND THE INFORMATIONAL EFFICIENCY OF AFRICAN STOCK MARKETS56 cited

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  • 2014Market efficiency in emerging stock markets: A case study of the Vietnamese stock market42 cited
  • 2009Random walk tests for the Lisbon stock market39 cited
  • 2008Martingales in European emerging stock markets: Size, liquidity and market quality33 cited
  • 2006Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data29 cited
  • 2020Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets27 cited
  • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
  • 2012Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets25 cited
  • 2014Price discovery process in the emerging sovereign CDS and equity markets25 cited