On Testing the Random Walk Hypothesis: A Model-Comparison Approach

By A. F. Darrat, M. Zhong. 2000

179 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/04f878aa29b234999ebe071ba81f30f38456d809

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Benjamin Miranda Tabak
2. K. Lim
3. R. Brooks
4. Ladislav Kristoufek
5. Miloslav S. Vosvrda
6. Aurelio Fernández Bariviera
7. Yudong Wang
8. Li Liu

In Finance

1. Benjamin Miranda Tabak
2. K. Lim
3. R. Brooks
4. Ladislav Kristoufek
5. Miloslav S. Vosvrda
6. Yudong Wang
7. Li Liu

In Management Science and Operations Research

1. Benjamin Miranda Tabak

Citations in the corpus

• Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore (2004, background): “Furthermore, Darrat and Zhong (2000) also study the Shanghai and Shenzhen stock exchanges using weekly data and find evidence rejecting the RWH for short horizons using single VR statistics.”
• A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit (2007, unknown): “Darrat and Zhong (2000) and Poshakwale (2002) reject the RWH for the Chinese and Indian stock markets, respectively.”