Random walks in stock exchange prices and the Vienna Stock Exchange

Research, Preprint English OPEN
Huber, Peter;
(1995)
  • Publisher: Vienna: Institute for Advanced Studies (IHS)
  • Subject: G14
    • ddc: ddc:330
      jel: jel:G14

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 signifi... View more
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