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An application of variance ratio test to the Korean securities market
16 references·16 citing·34 second hopsampled
An application of variance ratio test to the Korean securities market (1994)An application of variance ratio test to …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIA Variance-Ratio Test of Random Walks in Foreign Exchange Rates (1991)A Variance-Ratio Test of Rand…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…A Reappraisal of the Efficiency of Financial Markets (1989)A Reappraisal of the Efficien…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…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…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…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…Risk Aversion and the Martingale Property of Stock Prices (1973)Risk Aversion and the Marting…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 …ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS (2022)ON THE RELATIONSHIP BETWEEN E…On the efficiency of the global gold markets (2015)On the efficiency of the glob…Signaling Asset Price Bubbles with Time-Series Methods (2012)Signaling Asset Price Bubbles…Testing the weak‐form efficiency in African stock markets (2011)Testing the weak‐form efficie…Are GCC stock markets predictable? 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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 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
  • 1991Efficient Capital Markets: II5,346 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
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1973Risk Aversion and the Martingale Property of Stock Prices354 cited
  • 1991A Variance-Ratio Test of Random Walks in Foreign Exchange Rates

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261 cited
  • 1989A Reappraisal of the Efficiency of Financial Markets128 cited
  • Cited by

    • 2022ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS119 cited
    • 2004Testing for predictability in emerging equity markets111 cited
    • 2004Some evidence of random walk behavior of Euro exchange rates using ranks and signs94 cited
    • 1997A Fundamental Analysis of Korean Stock Returns79 cited
    • 2003Random‐walk and efficiency tests of Central European equity markets74 cited
    • 2009Unifractality and multifractality in the Italian stock market73 cited
    • 2000Volatility and information flows in emerging equity market71 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
    • 2011Are GCC stock markets predictable?56 cited
    • 2011Testing the weak‐form efficiency in African stock markets51 cited
    • 1999An Application of Variance-Ratio Test of Five Asian Stock Markets49 cited
    • 2015On the efficiency of the global gold markets47 cited
    • 2006Tests of weak form efficiency in the Middle East emerging markets46 cited
    • 2005A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs45 cited
    • 2012Signaling Asset Price Bubbles with Time-Series Methods45 cited