A variance-ratio test for supporting a variable mean in kriging

1997 ◽  
Vol 29 (3) ◽  
pp. 335-348 ◽  
Author(s):  
Peter K. Kitanidis
Keyword(s):  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test

A simple multiple variance ratio test

1993 ◽  
Vol 58 (3) ◽  
pp. 385-401 ◽  
Author(s):  
K.Victor Chow ◽  
Karen C. Denning
Keyword(s):  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test

scholarly journals Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 81 ◽  
Author(s):  
Dzung Phan Tran Trung ◽  
Hung Pham Quang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Ho Chi Minh City ◽  
Stock Exchanges ◽  
Ratio Test ◽  
Time Varying ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Relationship

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

An Application of Variance-Ratio Test of Five Asian Stock Markets

1999 ◽  
Vol 02 (03) ◽  
pp. 301-315 ◽  
Author(s):  
M. Imam Alam ◽  
Tanweer Hasan ◽  
Palani-Rajan Kadapakkam
Keyword(s):  
Hong Kong ◽  
Sri Lanka ◽  
Emerging Market ◽  
Stock Index ◽  
Ratio Test ◽  
Variance Ratio ◽  
Long Period ◽  
Variance Ratio Test ◽  
New Evidence ◽  
Stock Index Returns

In the present study the variance-ratio test developed by Lo and MacKinlay (1988, and 1989) is applied to monthly stock index returns of five Asian markets that are in different stages of development. The markets examined are Bangladesh, Hong Kong, Malaysia, Sri Lanka and Taiwan. Although previous studies have examined the efficiency issues of the markets in Hong Kong, Malaysia, Sri Lanka and Taiwan, the empirical evidence is often contradictory. The current study looks at the efficiency issues of these markets over a sufficiently long period of time (November 1986 — December 1995) using more appropriate methodology and type of data. Also, this study is the first to provide new evidence on an emerging market in Asia — Bangladesh. Results reported in this study indicate that the index return series of all the sample markets except Sri Lanka do follow a random walk.

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