Random walk theory explains the concept of efficient markets. The markets are described as efficient because they impound information whether private or public very quickly and reflect it in the prices of stocks traded. Investors therefore cannot outperform the markets based on the information...

There has been profuse development in the stock markets all over the world in the past decades. The 21st century has seen intriguing changes in the stock markets in both developed and emerging economies. This paper examines the weak-form efficiency of listed firms on the Ghana Stock Exchange...

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

In recent years, there has been greater concern among the investors, portfolio managers and researchers regarding the behaviour of the stock market prices. The investors are interested to earn a higher return on their investments. Therefore, the portfolio managers have to examine the stock...

This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...

This paper investigates weak form of efficiency in Indian equity market. For this purpose, informational efficiency of National Stock Exchange of Indian's indices i.e. NIFTY, bank NIFTY and IT NIFTY is examined. The NSE indices returns under the study do not confirm to normal distribution. The...

Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many fundamental theories in physics. This model is a good zero...

This study explores the weak-form efficiency of the Philippine Stock Exchange (PSE) and its different sectoral markets using modern inference techniques with robust statistical properties. The research is motivated by the lack of consensus in the literature on the informational efficiency of the...

We examine the price behavior of 56 major markets over the last 16 years applying a set of univariate and multivariate robust statistical tests across different time frequencies. Our results can be considered as an augmented true out-of-sample test of all previous research testing for...