A new variance ratio test of random walk in emerging markets: A revisit

Using a nonparametric variance ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent and small stock mar...

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Bibliographic Details
Main Authors: Al-Khazali, O., DING, David K., Pyun, C.S.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/977
https://ink.library.smu.edu.sg/context/lkcsb_research/article/1976/viewcontent/ContentServer__1_.pdf
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Institution: Singapore Management University
Language: English

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