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A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit
16 references·16 citing·44 second hopsampled
A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit (2007)A New Variance Ratio Test of Random Walk …A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets (2006)A comparison of variance rati…Time-Varying World Market Integration (2005)Time-Varying World Market Int…Reflections on the Efficient Market Hypothesis: 30 Years Later (2005)Reflections on the Efficient …Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Alternative Variance-Ratio Te…A test for independence based on the correlation dimension (1996)A test for independence based…TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS (1995)TESTS OF RANDOM WALK AND MARK…Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? (1994)Mean Reversion of Standard & …A simple multiple variance ratio test (1993)A simple multiple variance ra…Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia (1992)Efficiency and inefficiency i…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…A Variance-Ratio Test of Random Walks in Foreign Exchange Rates (1991)A Variance-Ratio Test of Rand…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…The size and power of the variance ratio test in finite samples (1989)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…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Testing for efficiency in the Saudi stock market: does corporate governance change matter? (2020)Testing for efficiency in the…Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)Stock market anomalies, marke…Social norms and market outcomes: The effects of religious beliefs on stock markets (2017)Social norms and market outco…Time varying market efficiency of the GCC stock markets (2015)Time varying market efficienc…Revisiting fast profit investor sentiment and stock returns during Ramadan (2014)Revisiting fast profit invest…Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market? (2014)Are the regional Gulf stock m…A frican Stock Markets: Efficiency and Relative Predictability (2013)A frican Stock Markets: Effic…Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets (2011)Weak-form Market Efficiency a…Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests (2011)Are Gulf stock markets effici…Are GCC stock markets predictable? (2011)Are GCC stock markets predict…Efficiency tests of foreign exchange markets for four Asian Countries (2010)Efficiency tests of foreign e…WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS (2009)WHY DO EMERGING STOCK MARKETS…The Weak-form Efficiency of Chinese Stock Markets (2009)The Weak-form Efficiency of C…Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets (2009)Systematic risk and time scal…An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation (2009)An empirical investigation of…Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets (2007)Nonlinear serial dependence a…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)Are Asian stock markets efficient? 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(1936)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Price discovery in the German equity index derivatives markets (1999)Premiums-Discounts and Exchange Traded Funds (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (1994)Parametric and Nonparametric Volatility Measurement (2010)Does realized skewness predict the cross-section of equity returns? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1993A simple multiple variance ratio test496 cited
  • 2000Alternative Variance-Ratio Tests Using Ranks and Signs394 cited
  • 1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?303 cited
  • 1995TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS288 cited
  • 2005Reflections on the Efficient Market Hypothesis: 30 Years Later284 cited
  • 1991A Variance-Ratio Test of Random Walks in Foreign Exchange Rates261 cited
  • 2005Time-Varying World Market Integration240 cited
  • 2006A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets

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224 cited
  • 1992Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia223 cited
  • Cited by

    • 2017Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices102 cited
    • 2009An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation99 cited
    • 2011Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets86 cited
    • 2007Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets84 cited
    • 2014Revisiting fast profit investor sentiment and stock returns during Ramadan83 cited
    • 2009Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets79 cited
    • 2015Time varying market efficiency of the GCC stock markets66 cited
    • 2014Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?61 cited
    • 2011Are GCC stock markets predictable?56 cited
    • 2009WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS46 cited
    • 2009The Weak-form Efficiency of Chinese Stock Markets39 cited
    • 2010Efficiency tests of foreign exchange markets for four Asian Countries39 cited
    • 2011Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests38 cited
    • 2017Social norms and market outcomes: The effects of religious beliefs on stock markets36 cited
    • 2013A frican Stock Markets: Efficiency and Relative Predictability35 cited
    • 2020Testing for efficiency in the Saudi stock market: does corporate governance change matter?33 cited