학회소식
[2005년 제 2차] A Note on a New Variance Ratio Test of Random Walk
작성자 : 관리자
조회수 : 772
게시일 :
2005-06-03
This study re-examines the random walk hypothesis for eight emerging equity markets in Asia: Hong Kong, Indonesia, Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. The hypothesis is tested with two new variance ratio tests - Wright’s rank and sign and Whang-Kim subsample tests - as well as Lo-MacKinlay and Chow-Denning tests. We show that (i) the stock prices of the eight Asian countries do not follow random walk with the possible exceptions of Taiwan and Korea and (ii) the accelerated opening of the eight stock markets to foreign investors following the Asian financial crisis in 1997 has not significantly altered the mean-reversion patterns of stock price vis-à-vis relative market efficiency. We also show that Wright’s and Whang-Kim’s tests, respectively, offer advantages over Lo-MacKinlay and Chow-Denning tests for emerging stock markets, where the use of standardized asymptotic statistics is inappropriate.
