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RANDOM WALK TESTS FOR LATIN AMERICAN EQUITY INDEXES AND INDIVIDUAL FIRMS
11 references·16 citing·49 second hop
RANDOM WALK TESTS FOR LATIN AMERICAN EQUITY INDEXES AND INDIVIDUAL FIRMS (1999)RANDOM WALK TESTS FOR LATIN AMERICAN EQUI…The Econometrics of Financial Markets (1997)The Econometrics of Financial…International Portfolio Investment Flows (1997)International Portfolio Inves…TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS (1995)TESTS OF RANDOM WALK AND MARK…Do Asian stock market prices follow random walks? Evidence from the variance ratio test (1995)Do Asian stock market prices …Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data (1992)Feedback Traders and Stock Re…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests (2014)Re-examining the Turkish stoc…Market efficiency in emerging stock markets: A case study of the Vietnamese stock market (2014)Market efficiency in emerging…Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets (2011)Weak-form Market Efficiency a…Random walk tests for the Lisbon stock market (2009)Random walk tests for the Lis…An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation (2009)An empirical investigation of…Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market (2008)Stock-market efficiency in th…Efficient market hypothesis: evidence from a small open-economy (2008)Efficient market hypothesis: …A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit (2007)A New Variance Ratio Test of …The behaviour of US stock prices: Evidence from a threshold autoregressive model (2006)The behaviour of US stock pri…A non-parametric assessment of weak-form efficiency in the UAE financial markets (2006)A non-parametric assessment o…Are the Australian and New Zealand stock prices nonlinear with a unit root? (2005)Are the Australian and New Ze…Testing for predictability in emerging equity markets (2004)Testing for predictability in…Weak-form market efficiency in European emerging and developed stock markets (2003)Weak-form market efficiency i…The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case (2003)The random walk hypothesis an…Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange (2003)Testing weak-form market effi…Random‐walk and efficiency tests of Central European equity markets (2003)Random‐walk and efficiency te…Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)Measuring abnormal performance (1992)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Stock prices and the Wall Street weather (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)Stock Prices and Social Dynamics (1984)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Oil price dynamics and speculation (2009)Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis (2010)The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)The Behavior of Stock-Market Prices (1965)Asset Prices in an Exchange Economy (1978)Tests of technical trading strategies in the emerging equity markets of Latin America and Asia (1999)Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization (2002)Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Investor Diversification and International Equity Markets (1991)Time‐Varying World Market Integration (1995)Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Trying to Explain Home Bias in Equities and Consumption (1999)The portfolio flows of international investors (2001)A Rational Expectations Model of Financial Contagion (2002)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 1997The Econometrics of Financial Markets5,007 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1992Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data384 cited
  • 1995TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS288 cited
  • 1995Do Asian stock market prices follow random walks? Evidence from the variance ratio test130 cited

Cited by

  • 2003Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange123 cited
  • 2007A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit120 cited
  • 2004Testing for predictability in emerging equity markets111 cited
  • 2009

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An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation
99 cited
  • 2011Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets86 cited
  • 2008Efficient market hypothesis: evidence from a small open-economy80 cited
  • 2003Random‐walk and efficiency tests of Central European equity markets74 cited
  • 2005Are the Australian and New Zealand stock prices nonlinear with a unit root?72 cited
  • 2014Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests71 cited
  • 2003The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case66 cited
  • 2006A non-parametric assessment of weak-form efficiency in the UAE financial markets59 cited
  • 2006The behaviour of US stock prices: Evidence from a threshold autoregressive model51 cited
  • 2008Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market49 cited
  • 2003Weak-form market efficiency in European emerging and developed stock markets43 cited
  • 2014Market efficiency in emerging stock markets: A case study of the Vietnamese stock market42 cited
  • 2009Random walk tests for the Lisbon stock market39 cited