Al-Khazali, Osamah M.; Ding, David K.; Pyun, Chong Soo - In: The Financial Review 42 (2007) 2, pp. 303-317
Using a nonparametric variance ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent and small stock...