Blasco, Natividad; Rio, Cristina Del; Santamaría, Rafael - In: Journal of Business Finance & Accounting 24 (1997-06) 5, pp. 667-684
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...