A Closer Look at Return Predictability of the US Stock Market: Evidence from a Panel Variance Ratio Test

2013 ◽  
Author(s):  
Jae H. Kim
Keyword(s):  
Stock Market ◽  
Return Predictability ◽  
Ratio Test ◽  
Variance Ratio ◽  
The Us ◽  
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.

Variance Ratio Test of Random Walk in Indian Stock Market

2015 ◽  
Vol 2 (2) ◽  
pp. 89-107
Author(s):  
Saloni Gupta ◽  
Neha Bothra
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Variance Ratio Test ◽  
Indian Stock Market ◽  
High Degree ◽  
The Relationship

We conduct tests of the null hypothesis of a random walk at the aggregate level of market indices and disaggregate level of individual shares to the Indian stock market over various data periods and a comparison of two sub-periods namely the pre liberalization and the post liberalization period. For this, we use the Lo-MacKinlay (1988) variance ratio test. Although the oldest test i.e. the serial correlation coefficient test is also applied to the same data to establish the relationship between the two tests but its results are not elaborated in this paper. The strength of this paper lies in the voluminous data base and a powerful testing tool that it makes use of. It is observed that the market is highly inefficient at daily returns level, thus imbibing high degree of predictability in stock returns, and even the weekly returns show the existence of trend. Monthly returns, however, support the random walk hypothesis across all periods. Thus it is concluded that further refinement of reform measures is required.

scholarly journals The market efficiency of the Tanzania stock market

2016 ◽  
Vol 11 (3) ◽  
pp. 75-86 ◽  
Author(s):  
Josephine Njuguna
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Test Unit ◽  
Variance Ratio Test

The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

scholarly journals Previsibilidade de Retornos e Eficiência no Mercado Acionário Brasileiro

2011 ◽  
Vol 9 (4) ◽  
pp. 571
Author(s):  
Regis Augusto Ely
Keyword(s):  
Stock Market ◽  
Small Firms ◽  
Industrial Sector ◽  
Small Sample ◽  
Ratio Test ◽  
Variance Ratio ◽  
Wild Bootstrap ◽  
Holding Period ◽  
Variance Ratio Test ◽  
Small Sample Properties

This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates the arbitrary choice of the holding period as well as improves small sample properties. The results suggest (i) stocks from the industrial sector are highly predictable, (ii) stocks from small firms tend to be more predictable than the ones from large firms, (iii) the Brazilian stock market, measured by the Ibovespa index from 1986 to 2008, shows an increase of efficiency since 1994.

scholarly journals Testing the Predicting Ability of Technical Analysis Classical Patterns in the Egyptian Stock Market

2017 ◽  
Vol 6 (3) ◽  
pp. 94 ◽  
Author(s):  
Osama El-Ansary ◽  
Dina Mohssen
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Emerging Market ◽  
Technical Analysis ◽  
Expected Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Empirical Results ◽  
Variance Ratio Test ◽  
Future Return

As an emerging market, Egyptian stock market is characterized by inefficiency which is confirmed empirically in this research. This provoked us to test the ability of technical analysis classical patterns in predicting the future returns through calculating the expected price target consequently the expected future return and compare it with the actual return.Statistical techniques and models including Box Pierce (Ljung-Box), Variance ratio test, Runs test, and t-test bootstrapping technique have been applied to test the research proposed hypotheses. The empirical results revealed that the Egyptian stock market is inefficient as returns don’t follow random walk and are dependent, it is found also that the actual returns have significantly exceeded the expected returns of the detected patterns indicating that classical patterns can perfectly predict the direction of the price movements rather than the exact price targets.

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