کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084312 | 1477838 | 2007 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study re-examines the random walk hypothesis for eight emerging equity markets in Asia: Hong Kong, Indonesia, Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. The hypothesis is tested with two new variance ratio tests-Wright's rank and sign and Whang-Kim subsampling tests-as well as the conventional Lo-MacKinlay and Chow-Denning tests. We found that (i) the stock prices of the eight Asian countries do not follow random walk with the possible exceptions of Taiwan and Korea and (ii) the accelerated opening of the eight stock markets to foreign investors following the Asian financial crisis in 1997 has not significantly altered the mean-reversion patterns of stock price vis-Ã -vis relative market efficiency. Our study affirms that Wright's and Whang-Kim's tests yield far less ambiguous results as compared to Lo-MacKinlay and Chow-Denning tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 16, Issue 4, 2007, Pages 488-502
Journal: International Review of Economics & Finance - Volume 16, Issue 4, 2007, Pages 488-502
نویسندگان
Hafiz A.A.B. Hoque, Jae H. Kim, Chong Soo Pyun,