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The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case
16 references·15 citing·26 second hop
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this work references cited by second hop

References

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  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
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  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
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  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices

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3,036 cited
  • 1993The journal of financial economics2,544 cited
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    • 2006A non-parametric assessment of weak-form efficiency in the UAE financial markets59 cited
    • 2014New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach48 cited
    • 2020S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA48 cited
    • 2009WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS46 cited
    • 2020Testing for efficiency in the Saudi stock market: does corporate governance change matter?33 cited
    • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
    • 2010Stock returns and foreign investment in Brazil23 cited
    • 2023Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability22 cited
    • 2013The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets21 cited
    • 2006Testing the Assertion that Emerging Asian Stock Markets are Becoming More Efficient20 cited
    • 2005Behavior and Effects of Foreign Investors on Istanbul Stock Exchange20 cited
    • 2019Foreign Portfolio Investment And Stock Market Development in Nigeria12 cited