Chen, Shyh-Wei; Shen, Chung-Hua - In: Economics Bulletin 29 (2009) 1, pp. 286-302
Using 16 OECD stock price indices data, this paper revisits the random walk hypothesis by inspecting the degree of persistence of stock prices. We adopt two recently developed econometric procedures, due to Hansen (1999) and Romano and Wolf (2001), in order to estimate 95% confidence intervals...