VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW

By Amélie Charles, Olivier Darné. 2009

173 citations recorded by the source corpus.

This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d5f882e6bff8e0aeb4b6e3794a7f53543b4c09bc

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. K. Lim
2. Jae Hyun Kim
3. Wei Luo
4. R. Brooks
5. Olivier Darné
6. Amélie Charles
7. Ayoub Ammy-Driss
8. Matthieu Garcin

In Finance

1. K. Lim
2. Jae Hyun Kim
3. Wei Luo
4. R. Brooks
5. Amélie Charles
6. Olivier Darné
7. Ayoub Ammy-Driss
8. Matthieu Garcin

Citations in the corpus

• Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “Charles and Darné (2009) provide an excellent survey on the recent developments of VR tests.”
• Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates (2012, methodology): “…rank tests of Wright (2000), and wild bootstrap test of Kim (2006).5 The test is based on the property that, if return 5See Hoque et al. (2007) and Charles and Darné (2009a) for a review on the VR tests. is purely random, the variance of k-period return is k times the variance of the oneperiod…”
• Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics (2020, methodology): “Other indicators measure a deviation from a random walk, using for example variance ratios [15] or a combination of several statistics such as fractal dimension and entropy [47, 46].”
• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Zhang and Li (2008) and Charles and Darné (2009a) add to this growing list of Chinese efficiency papers, but their applications of a battery of VR tests yield mixed findings.”