Dahl, Christian M.; Nielsen, Steen - Økonomisk Institut, Copenhagen Business School - 2001
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>