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New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach
13 references·9 citing·28 second hop
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1997Multiple Trend Breaks and the Unit-Root Hypothesis1,504 cited
  • 1998Testing for a unit root in variables with a double change in the mean918 cited
  • 2010UNIT ROOT TESTS WITH WAVELETS158 cited
  • 2004Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore106 cited
  • 2008Efficient market hypothesis: evidence from a small open-economy80 cited
  • 2003The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case66 cited

Cited by

  • 2015The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis

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64 cited
  • 2016Are natural gas spot and futures prices predictable?40 cited
  • 2018Is human capital the sixth factor?34 cited
  • 2020Testing for efficiency in the Saudi stock market: does corporate governance change matter?33 cited
  • 2016Unit root modeling for trending stock market series32 cited
  • 2018Are Stock Prices a Random Walk? An Empirical Evidence of Asian Stock Markets32 cited
  • 2022Are African Stock Markets Efficient? A Comparative Analysis Between Six African Markets, the UK, Japan and the USA in the Period of the Pandemic30 cited
  • 2020Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets27 cited
  • 2020Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa25 cited