On Testing the Random-Walk Hypothesis : A Model-Comparison Approach

@inproceedings{Darrat2005OnTT,
  title={On Testing the Random-Walk Hypothesis : A Model-Comparison Approach},
  author={F. Darrat and Maosen Zhong},
  year={2005}
}
The main intention of this paper is to investigate, with new daily data, whether prices in the two Chinese stock exchanges (Shanghai and Shenzhen) follow a random-walk process as required by market efficiency. We use two different approaches, the standard varianceratio test of Lo and MacKinlay (1988) and a model-comparison test that compares the ex post forecasts from a NAIVE model with those obtained from several alternative models: ARIMA, GARCH and the Artificial Neural Network (ANN). To… CONTINUE READING
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