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Variance ratio tests of the random walk hypothesis for European emerging stock markets

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Cited by:

  1. Ana Rita Gonzaga & Helder Sebastião, 2012. "As Ações Portuguesas Seguem um Random Walk? Implicações para a Eficiência de Mercado e para a Definição de Estratégias de Transação," GEMF Working Papers 2012-02, GEMF, Faculty of Economics, University of Coimbra.
  2. Jitka Veselá & Alžběta Zíková, 2022. "Are the Czech, Polish, German and Dutch markets taking a random walk? [Konají český, polský, německý a nizozemský trh náhodnou procházku?]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2022(2), pages 19-38.
  3. Abullah M. Noman & Minhaz U. Ahmed, 2008. "Efficiency of the foreign exchange markets in South Asian Countries," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-18, American International University-Bangladesh (AIUB), Office of Research and Publications (ORP), revised Jun 2008.
  4. Müge Özdemir, 2022. "Analyzing the Efficient Market Hypothesis with the Structural Break and Nonlinear Unit Root Tests: An Application on Borsa Istanbul," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 257-282, December.
  5. Maria Rosa Borges, 2011. "Random walk tests for the Lisbon stock market," Applied Economics, Taylor & Francis Journals, vol. 43(5), pages 631-639.
  6. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
  7. Fathia Elleuch Lahyani, 2014. "Are MENA and Pacific Basin Stock Equity Markets Predictable?," SAGE Open, , vol. 4(4), pages 21582440145, December.
  8. Murat Köksalan & Ceren Tuncer Şakar, 2016. "An interactive approach to stochastic programming-based portfolio optimization," Annals of Operations Research, Springer, vol. 245(1), pages 47-66, October.
  9. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 045-053, June.
  10. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
  11. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.
  12. Olwetu Fusthane & Kapingura F M, 2017. "Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis," Journal of Economics and Behavioral Studies, AMH International, vol. 9(5), pages 29-42.
  13. Graham Smith, 2008. "Liquidity And The Informational Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(2), pages 161-175, June.
  14. Maria Rosa Borges, 2010. "Efficient market hypothesis in European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 711-726.
  15. repec:kap:iaecre:v:15:y:2009:i:1:p:59-70 is not listed on IDEAS
  16. Daouda Lawa Tan Toe & Mamadou Toe & Tibi Didier Zoungrana, 2023. "Investigating the weak and semi-strong forms of Informational Efficiency on the West African Economic and Monetary Union’s Stock Exchange (BRVM) through returns predictability tests," SN Business & Economics, Springer, vol. 3(9), pages 1-27, September.
  17. Ashish Kumar, 2015. "Impact of Currency Futures on Volatility in Exchange Rate," Paradigm, , vol. 19(1), pages 95-108, June.
  18. Bock, J. & Geissel, S., 2024. "Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency," Finance Research Letters, Elsevier, vol. 62(PA).
  19. Gábor Bóta & Mihály Ormos, 2015. "Development of stock market pricing in Central and Eastern Europe through two decades after the transition," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 685-708, November.
  20. Yunus Kilic & Mehmet Fatih Bugan, 2016. "The Efficient Market Hypothesis: Evidence from Turkey," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 6(10), pages 262-272, October.
  21. Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2009. "Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 59-70, February.
  22. Abdelbari El Khamlichi & Kabir Sarkar Humayun & Mohamed Arouri & Frédéric Teulon, 2014. "Are Islamic equity indices more efficient than their conventional counterparts ? Evidence from major global index families," Working Papers 2014-91, Department of Research, Ipag Business School.
  23. Aneta Dyakova & Graham Smith, 2013. "Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1257-1271, August.
  24. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
  25. Laurel PASRICHA & Neelam DHANDA, 2022. "The past, the present and the prospective future of efficient market hypothesis: a theoretical and empirical investigation of international stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(631), S), pages 89-106, Summer.
  26. Erdas Mehmet Levent, 2019. "Validity of Weak-Form Market Efficiency in Central and Eastern European Countries (CEECs): Evidence from Linear and Nonlinear Unit Root Tests," Review of Economic Perspectives, Sciendo, vol. 19(4), pages 399-428, December.
  27. Borkowski, Bolesław & Krawiec, Monika & Karwański, Marek & Szczesny, Wiesław & Shachmurove, Yochanan, 2021. "Modeling garch processes in base metals returns using panel data," Resources Policy, Elsevier, vol. 74(C).
  28. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
  29. Saadet Kasman & Evrim Turgutlu & A. Duygu Ayhan, 2009. "Long memory in stock returns: evidence from the major emerging Central European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1763-1768.
  30. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
  31. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
  32. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  33. Bruce Burton & Satish Kumar & Nitesh Pandey, 2020. "Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1817-1841, December.
  34. Dobija, Dorota & Klimczak, Karol Marek, 2010. "Development of accounting in Poland: Market efficiency and the value relevance of reported earnings," The International Journal of Accounting, Elsevier, vol. 45(3), pages 356-374, September.
  35. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
  36. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
  37. Graham Smith, 2009. "Martingales in European emerging stock markets: Size, liquidity and market quality," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 249-262.
  38. Rudra Prakash Pradhan, 2012. "Variance Ratio Test of Random Walk for Foreign Trade: The Study in India during the Globalization Era of 1990s," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 101-104, January.
  39. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
  40. repec:prg:jnlcfu:v:2022:y:2022:i:2:id:575 is not listed on IDEAS
  41. Ngene, Geoffrey M. & Kabir Hassan, M. & Alam, Nafis, 2014. "Price discovery process in the emerging sovereign CDS and equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 117-132.
  42. Ismael Orquín-Serrano, 2020. "Predictive Power of Adaptive Candlestick Patterns in Forex Market. Eurusd Case," Mathematics, MDPI, vol. 8(5), pages 1-34, May.
  43. repec:ipg:wpaper:2014-091 is not listed on IDEAS
  44. Andrew Urquhart, 2014. "The Euro and European stock market efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 24(19), pages 1235-1248, October.
  45. A. Sensoy & Benjamin M. Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
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