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/lp/wiley/the-random-walk-hypothesis-in-the-spanish-stock-market-1980-1992-rhYMFoMkCN
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- Publisher
- Wiley
- Copyright
- Copyright © 1997 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0306-686X
- eISSN
- 1468-5957
- DOI
- 10.1111/1468-5957.00128
- Publisher site
- See Article on Publisher Site
Abstract
In this paper we test the random walk hypothesis in the Spanish stock market using disaggregated daily data base spanning the period January 1980 to December 1992. We find that daily returns are strongly correlated and nonlinear dependent. Furthermore, using the variance‐ratio test, that is robust to heteroscedasticity, the results suggest that the rejection of the random walk hypothesis cannot be attributed completely to the effects of time varying volatilities. In this sense, the price changes can be potentially predictable over, at least, short time spans.
Journal
Journal of Business Finance & Accounting – Wiley
Published: Jun 1, 1997