A variance ratio test of the random walk hypothesis for Taiwan's stock market

Abstract

The Lo and MacKinlay variance-ratio test is used to examine random walks in Taiwan's 1971–1996 stock prices. The empirical results show that with weekly value-weighted market index, the null hypothesis of random walk is rejected, and the autocorrelation decreases after the 1990 speculation fad and is inversely related to the range of price limits. The study also finds that the random walk hypothesis cannot be rejected with monthly, quarterly and yearly value-weighted market indexes.

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