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| Tekijä: | Smith, G. Ryoo, H-J. |
| Otsikko: | Variance ratio tests of the random walk hypothesis for European emerging stock markets |
| Lehti: | European Journal of Finance
2003 : JUN, VOL. 9:3, p. 290-300 |
| Asiasana: | Emerging markets Random walks Stock markets SHARE PRICES |
| Vapaa asiasana: | Variance ratio tests |
| Kieli: | eng |
| Tiivistelmä: | This study tests the hypothesis that stock market price indices follow a random walk for five European emerging markets, Greece, Hungary, Poland, Portugal and Turkey by using the multiple variance ratio test. The random walk hypothesis is rejected in four of the markets because of autocorrelation in returns. |
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