A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit

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Asymmetric causality tests with an application (2012, background): “(1998); Ojah and Karemera (1999); Henry and Olekalns (2002); Abraham et al. (2002);Buguk and Brorsen (2003); Malkiel (2003); Al-Khazali et al. (2007) ; Cajueiro et al. (2009); Ibrahim and Aziz (2003); Hatemi-J (2004a,b) as well as Lim and Kim (2008).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “These recent studies do report evidence of weak-form efficiency for emerging stock markets, for instance Al-Khazali et al. (2007) for Bahrain, Egypt, Jordan, Kuwait, Morocco, Oman, Saudi Arabia and Tunisia; Smith (2007) for Israel, Jordan and Lebanon; Kim and Shamsuddin (2008) for South Korea, Taiwa”
VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “V R(k) = σ̂(2)(k) σ̂2(1) where σ̂(2)(1) is the unbiased estimator of the one-period return variance, using the one-period returns xt , and is defined as σ̂(2)(1) = (T −1)−1 T ∑ t=1 (xt − μ̂)(2) = (T −1)−1 T ∑ t=1 (yt − yt−1 − μ̂)(2) (1)”