Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

By Andrew W. Lo, A. Mackinlay, Don Keim, Whitney K. Newey, Peter C. B. Phillips, J. Poterba, Krishna Ramaswamy Bill Schwert, S. Hogue, Elizabeth H Schmidt, Mad-Havi. 1987

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Citations in the corpus

Are Markets Truly Efficient? Experiments Using Deep Learning Algorithms for Market Movement Prediction (2018, neutral): “Tests of market efficiency take many forms, such as tests of autocorrelation on univariate time series stock (or stock index) return data, as in [3].”
Corporate governance and firm profitability: evidence from Korea before the economic crisis (2003, background): “First, researchers have shown some market inefficiencies even in the most developed countries (De Bondt and Thaler, 1985, 1987; Lo and MacKinlay, 1988; Conrad and Kaul, 1998). Developing countries also show stock market inefficiency. 1 Thus, stock prices in Korea are not likely to reflect all availa”
The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach (2019, unknown): “The panel DOLS method introduced by Pedroni [104] is specified by Equation (11):”
VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “The Lo-MacKinlay (1988), Chow-Denning (1993) and Kim (2006) tests are driven by Assumption H∗ of Lo and Mackinlay (1988) which assumes H∗1: For all t, E(εt) = 0, and E(εtεt−τ) = 0 for any τ 6= 0.”
Dark Trading and Price Discovery (2015, background): “…frequency metrics that explains the maximal amount of common variance and thus should be closely related to the underlying latent variable, while containing less noise if the measurement errors are less than perfectly correlated across the different frequencies. walk (e.g., Lo and MacKinlay, 1988).”
Ownership and operating performance of Chinese IPOs (2005, background): “…because accounting profitability is arguably a better measure of performance than stock price-based measures in particular for emerging stock markets, which are associated with some degree of inefficiency, and the stock prices do not reflect all available information (Lo and MacKinlay, 1988).”
Premiums-Discounts and Exchange Traded Funds (2006, result): “This model is roughly consistent with Lo and MacKinlay [1990] where the arrival rates of components of the index are constant, see also Le Baron.”
Analysis of high dimensional multivariate stochastic volatility models (2006, background): “This is not surprising as equity returns are well known to often exhibit mild autocorrelation due to, for example, discontinuous trading (see, for example, Scholes and Williams (1977) and Lo and MacKinlay (1988)).”
An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation (2010, background): “Evidence against the random walk hypothesis (RWH) for stock returns in the developed capital markets are reported by Fama and French (1988) and Lo and MacKinlay (1988), among others.”
The use of data mining and neural networks for forecasting stock market returns (2005, background): “This is still an empirical issue because there is considerable evidence that markets are not fully efficient, and it is possible to predict the future stock returns or indices with results that are better than random (Lo and MacKinlay, 1988).”
THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS (2005, background): “Graphs of illustrate the evolution of weak form efficiency through time. t1̂β Conventional tests of the random walk hypothesis, for example the Lo and MacKinlay (1988) variance ratio test, lead to the inference that a stock price or stock price index does or does not follow a random walk at a…”