This paper provides tests of the random walk hypothesis for the Korean stock market over the period from March 1988 to December 1998. During this time there are five regimes of daily price limits. We use a sample of 55 actively traded stocks selected to cover a wide range of industries and with...

This paper identifies four categories of formal stock market in Africa: South Africa, medium-sized markets, small new markets which have experienced rapid growth, and small new markets which have yet to take off. The hypothesis that a stock market price index follows a random walk is tested for...

The degree of return predictability is measured for 40 Bulgarian stocks, two Bulgarian stock market indices and 13 other South East European stock market indices using three finite-sample variance ratio tests. Daily data corrected for infrequent trading are used in a fixed-length rolling window...

The martingale hypothesis is tested for two Bulgarian stock price indices and eight stock prices using finite-sample variance ratio tests in a rolling window. The data cover the period beginning in October 2000 and ending in August 2012 and are corrected to remove the effects of infrequent...

The martingale hypothesis is tested for 11 Middle Eastern stock markets using three finite sample variance ratio tests. For comparative purposes, the same tests are applied to data obtained for the US. The tests are carried out with both observed returns and returns corrected for thin trading,...

This paper classifies formal stock markets in the Middle East into two categories and discuses the principal characteristics of the five markets covered in this study, those in Israel, Jordan, Kuwait, Lebanon and Oman. The hypothesis that a stock market price index follows a random walk is...

This article investigates the impact on the spot market of trading in KOSPI 200 futures. Empirical results show that futures trading increases the speed at which information is impounded into spot market prices, reduces the persistence of information and increases spot market volatility. The...