Random Walks in Stock Exchange Prices and the Vienna Stock Exchange

Huber, Peter (January 1995) Random Walks in Stock Exchange Prices and the Vienna Stock Exchange. IHS Economics Series 2

[img]
Preview
Text
es-2.pdf

Download (1MB) | Preview

Abstract or Table of Contents

Abstract: 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 significance levels for each and every title and for both indeces tested. Individual shares, however, do seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices.;

Item Type: IHS Series
Classification Codes (e.g. JEL): G14
Status: Published
Date Deposited: 26 Sep 2014 10:36
Last Modified: 25 Jul 2017 17:47
URI: http://irihs.ihs.ac.at/id/eprint/808

Actions (login required)

View Item View Item