haku: @indexterm RANDOM WALKS / yhteensä: 34
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| Tekijä: | Grieb, T. Reyes, M. |
| Otsikko: | Random walk tests for Latin American equity indexes and individual firms |
| Lehti: | Journal of Financial Research
1999 : WINTER, VOL. 22:4, p. 371-383 |
| Asiasana: | FINANCE LATIN AMERICA RANDOM WALKS |
| Kieli: | eng |
| Tiivistelmä: | In this study the authors re-examine the presence of random walk in stock prices in Brazil and Mexico. They employ variance ratio tests on weekly stock returns for indexes as well as individual firms. The results reveal mean aversion in Mexico at both the index level and the firm level. In contrast, the Brazil indexes show a greater tendency toward random walk; however, the results for the individual firms suggest mean reversion. |
SCIMA