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Variance Ratio Tests Of The Random Walk Hypothesis For South African Stock Futures

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  • Graham Smith
  • Gillian Rogers

Abstract

The hypothesis that stock futures follow a random walk is tested for four stock index futures and a sample of 36 single stock futures traded on the JSE Securities Exchange, South Africa, using joint variance ratio tests based on (i) ranks and signs and (ii) wild bootstrapping. Overall, there is a high degree of weak‐form efficiency: all four stock index futures and twenty‐five of the sample of 36 single stock futures follow a random walk.

Suggested Citation

  • Graham Smith & Gillian Rogers, 2006. "Variance Ratio Tests Of The Random Walk Hypothesis For South African Stock Futures," South African Journal of Economics, Economic Society of South Africa, vol. 74(3), pages 410-421, September.
    • Handle: RePEc:bla:sajeco:v:74:y:2006:i:3:p:410-421
    DOI: 10.1111/j.1813-6982.2006.00081.x
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    Cited by:

    1. Fernandez-Perez, Adrian & Frijns, Bart & Gafiatullina, Ilnara & Tourani-Rad, Alireza, 2022. "Profit margin hedging in the New Zealand dairy farming industry," Journal of Commodity Markets, Elsevier, vol. 26(C).
    2. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.

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