Do Spanish Stock Market Prices Follow a Random Walk?

@inproceedings{DePea2002DoSS,
  title={Do Spanish Stock Market Prices Follow a Random Walk?},
  author={Javier DePe{\~n}a and Luis A. Gil-Alana},
  year={2002}
}
In this article we test the random walk hypothesis in the Spanish daily stock market prices by means of using fractionally integrated techniques. We use a version of the tests of Robinson (1994) that permit us to test I(d) statistical models. The results show that though fractional degrees of integration are plausible in some cases, the confidence intervals are generally narrow, including the unit root in all cases. Therefore, there is very little evidence of fractional integration, despite the… CONTINUE READING

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