RANDOM WALK TESTS FOR LATIN AMERICAN EQUITY INDEXES AND INDIVIDUAL FIRMS

Terrance Grieb · Mario G. C. Reyes

125 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

Abstract In this study we re‐examine the presence of random walk in stock prices in Brazil and Mexico. We employ variance ratio tests on weekly stock returns for indexes as well as individual firms. The results reveal mean aversion in Mexico at both the index level and the firm level. In contrast, the Brazil indexes show a greater tendency toward random walk; however, the results for the individual firms suggest mean reversion. The results cannot be attributed to a firm size effect. Evidence is presented in favor of a greater degree of nonsynchronous trading for Brazilian securities than for Mexican securities.

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References

1997The Econometrics of Financial Markets 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 1990Correlations in Price Changes and Volatility across International Stock Markets 1997International Portfolio Investment Flows 1983The anomalous stock market behavior of small firms in January 1983Transaction costs and the small firm effect 1983Transaction costs and the small firm effect

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