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Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test

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  1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
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  7. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
  8. Angelovska, Julijana, 2018. "Testing Weak Form Of Stock Market Efficiency At The Macedonian Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(2), pages 133-144.
  9. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
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  13. Tarek Zaher, 2017. "The Value of Active Investment Strategies," NFI Working Papers 2017-WP-02, Indiana State University, Scott College of Business, Networks Financial Institute.
  14. Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  16. Tilak Abeysinghe & Gulasekaran Rajaguru, 2009. "A Gaussian Test for Cointegration," Microeconomics Working Papers 22013, East Asian Bureau of Economic Research.
  17. Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
  18. Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
  19. Cheteni, Priviledge, 2013. "Non-linearity behaviour of the ALBI Index: A case of Johannesburg Stock Exchange in South Africa," MPRA Paper 56369, University Library of Munich, Germany.
  20. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
  21. Antonio Zanella, 2011. "Solvency II and the European Sovereign Debt Crisis: The Case of Misplaced Prudence," Chapters, in: David Howden (ed.), Institutions in Crisis, chapter 6, Edward Elgar Publishing.
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  23. Cavallo, Eduardo A. & Powell, Andrew & Rigobón, Roberto, 2008. "Do Credit Rating Agencies Add Value?: Evidence from the Sovereign Rating Business Institutions," IDB Publications (Working Papers) 1634, Inter-American Development Bank.
  24. Benjamin Miranda Tabak, 2003. "The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case," Applied Financial Economics, Taylor & Francis Journals, vol. 13(5), pages 369-378.
  25. T. Parker Ballinger & Bradley T. Ewing & Mark A. Thompson, 2013. "Rivalry and the dynamic instability of venture capital investment shares," Applied Economics Letters, Taylor & Francis Journals, vol. 20(12), pages 1150-1154, August.
  26. Graham Smith & Aneta Dyakova, 2014. "African Stock Markets: Efficiency and Relative Predictability," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 258-275, June.
  27. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, June.
  28. Dominique Guégan & Marius Cristian Frunza, 2018. "Is the Bitcoin Rush Over?," Documents de travail du Centre d'Economie de la Sorbonne 18014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  29. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  30. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
  31. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
  32. Ozkan, Oktay, 2021. "Impact of COVID-19 on stock market efficiency: Evidence from developed countries," Research in International Business and Finance, Elsevier, vol. 58(C).
  33. Subrata Roy, 2020. "Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence," Jindal Journal of Business Research, , vol. 9(2), pages 148-161, December.
  34. Ya-Wen Lai, 2023. "Impact of futures’ trader types on stock market quality: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 417-436, June.
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  38. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  39. David, Géraldine & Oosterlinck, Kim & Szafarz, Ariane, 2013. "Art market inefficiency," Economics Letters, Elsevier, vol. 121(1), pages 23-25.
  40. Chen, Yingqi & Ba, Shusong & Yang, Qing & Yuan, Tian & Zhao, Haibo & Zhou, Ming & Bartocci, Pietro & Fantozzi, Francesco, 2021. "Efficiency of China’s carbon market: A case study of Hubei pilot market," Energy, Elsevier, vol. 222(C).
  41. Onur Özdemir & Anoop S. Kumar, 2024. "Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1255-1279, March.
  42. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
  43. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
  44. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
  45. Amarnath Mitra & Vishwanathan Iyer, 2017. "Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?," IIM Kozhikode Society & Management Review, , vol. 6(1), pages 42-54, January.
  46. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
  47. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
  48. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
  49. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
  50. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
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  55. Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
  56. Kaur, Gurbinder & Dhar, Joydip & Guha, Rangan Kumar, 2016. "Minimal variability OWA operator combining ANFIS and fuzzy c-means for forecasting BSE index," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 69-80.
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  59. Manolis Maragoudakis & Dimitrios Serpanos, 2016. "Exploiting Financial News and Social Media Opinions for Stock Market Analysis using MCMC Bayesian Inference," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 589-622, April.
  60. Choi, Gahyun & Park, Kwangyeol & Yi, Eojin & Ahn, Kwangwon, 2023. "Price fairness: Clean energy stocks and the overall market," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
  61. João Paulo Vieito & Wing-Keung Wong & Zhen-Zhen Zhu, 2016. "Could the global financial crisis improve the performance of the G7 stocks markets?," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1066-1080, March.
  62. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
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  66. Yao, Jing & Yang, Yiwen, 2023. "Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis," Economic Modelling, Elsevier, vol. 129(C).
  67. Pernagallo, Giuseppe & Torrisi, Benedetto, 2020. "Blindfolded monkeys or financial analysts: Who is worth your money? New evidence on informational inefficiencies in the U.S. stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  68. Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Measuring Success: Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers 11-19, Association Française de Cliométrie (AFC).
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