Do Asian Stock Markets Follow Martingales? Evidence from Spectral Shape Tests
The martingale hypothesis is examined for 5 Asian stock markets using the spectral shape tests of Durlauf (1991). Unlike the variance ratio test used in prior studies, the spectral shape tests are consistent against all stationary alternatives to the martingale null. With daily data, both tests reje...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1994
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2187 https://doi.org/10.1007/BF01739207 |
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| Institution: | Singapore Management University |
| Language: | English |