This paper applies six recently developed nonparametric tests of serial independence to monthly US stock returns. Findings of previous studies based on the BDS test are sup-ported since most of the new tests also reject the random walk hypothesis. Furthermore, power properties of the new tests...

This paper applies six recently developed nonparametric tests of serial independence <p> to monthly US stock returns. Findings of previous studies based on the BDS test are sup-ported <p> since most of the new tests also reject the random walk hypothesis. Furthermore, <p> power properties of the new...</p></p></p>