Abstract: The scope of this paper is the presentation of a simple hypothesis test that enables to discern heteroscedastic data from homoscedastic i.i.d. gaussian white noise. The main feature will be a test statistic that’s easy applicable and serves well in committing such a test. The power...

This paper examines the validity of the Random Walk Model in the Pakistani equity market. The model, extensively tested in other equity markets, implies that past movements in a stock price are not helpful in predicting future prices of that stock. The model states that changes in stock prices...

Signal waveforms are very fast dampening oscillatory time series composed of exponential functions. The regular least squares fitting techniques are often unstable when used to fit exponential functions to such signal waveforms since such functions are highly correlated. Of late, some attempts...

No country can develop without an active financial market, able to offer the conditions for financing national economy and also, an advantageous way of investing the temporary available resources. Having in mind this idea, the objective of this paper is to reveal the main coordinates of Romanian...

This paper examines the Weak-Form Efficient Market Hypothesis across time for the Nigerian Stock Exchange (NSE) by hypothesizing Normal Distribution and Random walk in periodic return series. Monthly all share indices of the NSE are examined for three periods including January 1985 to December...

This paper observes the Turkish household’ consumption data to see whether it follows random walk or not. The quarterly data covers the period from 1987:1 to 2003:4. By employing the direct tests for random walk, excess smoothness or excess sensitivity, this study results in both excess...

The paper investigates the weak-form efficiency of ten African stock markets using the runs test methodology for serial dependency. Returns are calculated using the adjusted trade-to-trade approach. Serious thin-trading was observed on all markets, and more so for Namibia and Botswana, the two...

In this paper we show that the random walk model with drift behaves like an ARIMA (0,2,1) when its parameter θ is greater but close to –1. Using the random walk for predicting future values of an ARIMA (0,2,1) process, we find out that when θ is not so close to –1, the performance of the...

This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups: 1992-2012, 1992-1994, 1995-1997, 1998-2000,...