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Stock market returns in thin markets: evidence from the Vienna Stock Exchange

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  • Peter Huber

Abstract

This paper uses the multiple variance ratio test procedure developed by Chow and Denning (1993) to test for a random walk of stock returns on the Vienna Stock Exchange. I find that with daily data the test rejects the random walk hypothesis at all conventional significance levels for each and every title and for both indices tested. Testing the hypothesis on a subsample running from 1990 to 1992 suggests that, as the market becomes institutionally more mature and more liquid, returns approach a random walk. Individual shares seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices.

Suggested Citation

  • Peter Huber, 1997. "Stock market returns in thin markets: evidence from the Vienna Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 493-498.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:493-498
    DOI: 10.1080/096031097333358
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    References listed on IDEAS

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    1. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    3. Liu, Christina Y & He, Jia, 1991. "A Variance-Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance, American Finance Association, vol. 46(2), pages 773-785, June.
    4. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
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