Enkhzul, Mendee; Jun, Sang-Gyung - In: Global Business & Finance Review (GBFR) 26 (2021) 3, pp. 1-13
many equity markets since Lo and MacKinley (1988) work, which proposes the variance ratio test for the random walk …, Lo and MacKinley (1989) indicate that the variance ratio test is more reliable and more powerful than the two tests …. Ayadi and Pyun (1994) also acknowledge that the variance ratio test is more appealing than other traditional tests for the …