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The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992

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  • Natividad Blasco
  • Cristina Del Rio
  • Rafael Santamaría

Abstract

In this paper we test the random walk hypothesis in the Spanish stock market using disaggregated daily data base spanning the period January 1980 to December 1992. We find that daily returns are strongly correlated and nonlinear dependent. Furthermore, using the variance‐ratio test, that is robust to heteroscedasticity, the results suggest that the rejection of the random walk hypothesis cannot be attributed completely to the effects of time varying volatilities. In this sense, the price changes can be potentially predictable over, at least, short time spans.

Suggested Citation

  • Natividad Blasco & Cristina Del Rio & Rafael Santamaría, 1997. "The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 667-684, June.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:5:p:667-684
    DOI: 10.1111/1468-5957.00128
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    Cited by:

    1. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
    2. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    3. Gourishankar S Hiremath & Bandi Kamaiah, 2010. "Nonlinear Dependence in Stock Returns: Evidences from India," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 69-85, January.

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