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Random Walks in Stock Exchange Prices and the Vienna Stock Exchange

Author

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  • Huber, Peter

    (Institute for Advanced Studies, Vienna)

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 Austrian 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 indeces tested. Individual shares, however, do seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices.

Suggested Citation

  • Huber, Peter, 1995. "Random Walks in Stock Exchange Prices and the Vienna Stock Exchange," Economics Series 2, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:2
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    Download full text from publisher

    File URL: https://irihs.ihs.ac.at/id/eprint/808
    File Function: First version, 1995
    Download Restriction: no
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    Cited by:

    1. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
    2. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
    3. Siva Kiran & Prabhakar Rao.R, 2019. "Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(72), pages 60-77, June.
    4. Jan Hájek, 2007. "Czech Capital Market Weak-Form Efficiency, Selected Issues," Prague Economic Papers, Prague University of Economics and Business, vol. 2007(4), pages 303-318.

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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