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With the advent of LPG Policy many foreign firms have invested in India and home country firms too have expanded their operations outside the nation which results in greater inflow and outflow of foreign currency and INR giving rise to currency fluctuations, these fluctuations were exposed to more volatility after the US financial crisis of 2008. The increased risk exposure can be mitigated by employing techniques such as hedging, speculation and by using instruments like Futures and Forward contracts. Currency futures have been considered as the best instruments for managing risk against foreign currency exchange rate volatility. Keeping this into consideration the present paper analyses the efficiency of random walk hypothesis by testing currency futures in weak form efficiency post financial crisis of 2008. The sample includes the monthly closing price indices for the period January 2009 to March 2019. The hypothesis tested is whether the currency futures USD/INR are weak form efficient. Statistical tools employed in the study encompasses Runs Test, Autocorrelation Function, Kolmogorov-Smirnov Test (K-S Test), Augmented Dickey Fuller Test (ADF Test), and Ljung Box Test. The results of the employed tests provide evidence on the non-randomness of the time series.

Purpose- This study investigates weak form market efficiency of Istanbul Stock Exchange (ISE) via Random Walk Hypothesis (RWH). Methodology- Two random walk tests, Dickey-Fuller and Runs test are used to search for random walk in stock market. Natural log returns of BIST-30 index firms, BIST-30 index, participation index firms and participation index are analysed by both tests over a five year period from 2013 to 2018. Therefore, BIST30 index returns together with BIST100 and BISTTUM indexes are analysed in a longer period from 2000 to 2018 including 2001 and 2008 financial crises in Turkey. Findings- Weak form market efficiency is justified according to Dickey Fuller test, but not for Runs test. Conclusion- While Dickey Fuller test results reject random walk in ISE, which leads that weak form market efficiency is not justified; Runs test are failed to give certain results on market efficiency for the same data set and time period.

The legitimacy of virtual currencies as an alternative form of monetary exchange has been the centre of an ongoing heated debated since the catastrophic global financial meltdown of 2007–2008. Our study tests the informational market efficiency of cryptomarkets by investigating the weak-form efficiency of the top-five cryptocurrencies using random walk testing procedures which are robust to asymmetries and unobserved smooth structural breaks. Moreover, our study employs two frequencies of cryptocurrency returns, one corresponding to daily returns and the other to weekly returns. Our findings validate the random walk hypothesis for daily series hence validating the weak-form efficiency for daily returns. On the other hand, weekly returns are observed to be stationary processes which is evidence against weak-form efficiency for weekly returns. Overall, our study has important implications for market participants within cryptocurrency markets., Efficient market hypothesis (EMH); Cryptocurrencies; Random walk model (RWM); Flexible fourier form (FFF) unit root tests; Smooth structural breaks.

A major issue in financial economics is the behavior of stock market returns over long horizons. This paper provides an empirical investigation of the random walk hypothesis in the MENA equity markets. We use the variance ratio tests developed by Wright (2000), Kim and Wang and Chow Denning (1993) to test for the weak form market efficiency. Then, we use the unit root tests proposed by Saikkonen and LA¼tkepohl (2002) and Lanne et al . (2002), which allow for a level shift in the data generating process. Our results confirm the stationarity of the MENA equity markets returns in the presence of structural breaks, with the breaks happening mostly during the 2008 and 2009 periods. Further, the findings from our sub-samples indicate that the results from the last sub-periods support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of the MENA countries.

This study aims to test whether stock prices on the Damascus Securities Exchange (DSE) follow a random walk process, using weekly data during the period from January 2010 to Mars 2017. For that purpose, in addition to the ADF test, which does not account for structural breaks in the data, the Zivot and Andrews test with one break, the Lumsdaine and Papell test with two breaks and the Lee and Strazicich tests with one and two endogenously determined structural breaks are applied. The findings of the study provide evidence in favor of random walk hypothesis in the DSE despite considering up to structural breaks in the data. Moreover, the dates of endogenously captured structural breaks in the majority of models tested coincide with the political instability that erupted in 2011 in Syria.

This study presents a test of Random Walk Hypothesis in the Nigerian Stock Market, with a view to determining if stock price changes conform to predetermined probability distribution. A sample of thirteen Deposit Money Banks which are listed on the Nigerian Stock Exchange between 2007 and 2014 were used in the analysis. Secondary daily price data for the period were sourced from the capital assets section of NSE Fact Book. The methods used were; Augmented Dickey-Fuller Test (ADF), Phillips-Perron Test (PP) and Kwiatkowski, Phillips, Schmidt and Shin Test (KPSS) unit root tests were used to test non-stationarity while Descriptive Statistics of Jaque-bera were used to check for normality. The ADF, PP and KPSS unit root test results imply that the changes in stock prices are stationary at level while Descriptive statistics results indicate that the changes in stock prices do not follow a normal distribution.

The movement of stock prices, in capital markets across the world, has been found to be both random and non-random. Basically, for a stock price to follow a random walk, its future price changes randomly based on all currently available information in the stock market, its price history inclusive. Some research findings have shown that the existing traditional unit root tests have low statistical power and hence cannot capture gradual changes over successive observations. Consequently, there is a need to revisit the random walk theory in stock prices using other tests. This study employs a Hidden Markov Model (HMM) with time-varying parameters to assess whether the stock price movements of the Nigerian Stock Exchange (NSE) follow a random walk process, or otherwise. Via hidden states, the HMM allows for periods with different volatility levels characterised by the hidden states. By simply accounting for the non-constant variance of the data with a two-state Hidden Markov Model and taking estimation into account via the Sequential Monte Carlo Expectation Maximisation (SMCEM) technique, this study finds no support of randomness. In conclusion, the stock price movements of the NSE do not follow the random walk process.

The present study aims to investigate the presence or absence of weak form market efficiency and unriddle the potential factors impacting the chaotic pattern of the stock market. The study carries the analysis by considering 12 countries’ indices categorized as developing and developed on the basis of their GDP. Five econometric tools were applied for accomplishing the objectives and it was evidenced that the American and Indian stock market are weak-form inefficient whereas most of the statistical tools adjudged three countries (i.e., Hong Kong, Singapore & South Korea) weak-form efficient. It was also unveiled in the study that settlement cycle, information disclosure, thinness of trading, trading hours, and market size could be the potential reasons impacting the weak form of efficiency of the stock market.

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods longer than 10 years. Specifically, using 141 years of data, this paper begins by performing formal tests of the random walk hypothesis in the prices of the real S&P Composite Index over increasing time horizons up to 40 years. Even though our results cannot support the conventional wisdom which says that the stock market is safer for long-term investors, our findings speak in favor of the mean reversion hypothesis. In particular, we find statistically significant in-sample evidence that past 15-17 year returns are able to predict future 15-17 year returns. This finding is robust to the choice of data source, deflator, and test statistic. The paper continues by investigating the out-of-sample performance of long-horizon return forecast based on the mean-reverting model. These latter tests demonstrate that the forecast accuracy provided by the mean-reverting model is statistically significantly better than the forecast accuracy provided by the naive historical-mean model. Moreover, we show that the predictive ability of the mean-reverting model is economically significant and translates into substantial performance gains.

This paper examines the random walk hypothesis for electricity consumption in sub-Saharan Africa countries over the period 1971–2013 by applying univariate and panel unit root tests. In addition to the first and second generation panel unit root tests, we apply the recent Lagrange Multiplier (LM) panel unit root test developed by Im, Lee and Tieslau, (2005). This test does not suffer from bias and spurious rejection because it allows for structural breaks in the intercept and slope. The empirical results of the LM unit root tests show that stationarity in electricity consumption is found in 11 of the 17 countries, which corroborates the findings of the first and second generation panel unit root tests. These results indicate that any shock to electricity consumption has a transitory impact for almost all sub-Saharan Africa countries implying that electricity demand will return to its time trend. Failure to reject the unit root hypothesis for the previous studies may be the result of a loss of power to allow for possible structural breaks. Keywords: Electricity consumption, Random walk, Sub-Saharan Africa

We examine whether stock prices in 18 emerging markets follow random-walk or mean-reversion processes in the presence of sudden and gradual multiple structural breaks. Our tests endogenously determined the structural shifts and are more powerful than either the traditional random-walk (unit root) tests or the single structural break tests. In all emerging markets, we find strong evidence for multiple structural breaks. When we use single break tests, the random-walk hypothesis is rejected. However, when we use tests of double level shifts in the mean and make due allowance for multiple structural breaks, the results are consistent with the random-walk hypothesis in the vast majority of the sampled markets. The evidence proves robust to using price indexes whether denominated in U.S. dollars, in local currencies or in real terms, and also to using fractional integration tests. Our results contradict some previous studies for emerging markets which restrict structural breaks to only one-time shift.

We investigated the presence and changes in, long memory features in the returns and volatility dynamics of S&P 500 and London Stock Exchange using ARMA model. Recently, multifractal analysis has been evolved as an important way to explain the complexity of financial markets which can hardly be described by linear methods of efficient market theory. In financial markets, the weak form of the efficient market hypothesis implies that price returns are serially uncorrelated sequences. In other words, prices should follow a random walk behavior. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Several studies find that the return volatility of stocks tends to exhibit long-range dependence, heavy tails, and clustering. Because stochastic processes with self-similarity possess long-range dependence and heavy tails, it has been suggested that self-similar processes be employed to capture these characteristics in return volatility modeling. The present study applies monthly and yearly forecasting of Time Series Stock Returns in S&P 500 and London Stock Exchange using ARMA model. The statistical analysis of S&P 500 shows that the ARMA model for S&P 500 outperforms the London stock exchange and it is capable for predicting medium or long horizons using real known values. The statistical analysis in London Stock Exchange shows that the ARMA model for monthly stock returns outperforms the yearly. ​A comparison between S&P 500 and London Stock Exchange shows that both markets are efficient and have Financial Stability during periods of boom and bust.

Purpose– Turvey (2007, Physica A) introduced a scaled variance ratio procedure for testing the random walk hypothesis (RWH) for financial time series by estimating Hurst coefficients for a fractional Brownian motion model of asset prices. The purpose of this paper is to extend his work by making the estimation procedure robust to heteroskedasticity and by addressing the multiple hypothesis testing problem.Design/methodology/approach– Unbiased, heteroskedasticity consistent, variance ratio estimates are calculated for end of day price data for eight time lags over 12 agricultural commodity futures (front month) and 40 US equities from 2000-2014. A bootstrapped stepdown procedure is used to obtain appropriate statistical confidence for the multiplicity of hypothesis tests. The variance ratio approach is compared against regression-based testing for fractionality.Findings– Failing to account for bias, heteroskedasticity, and multiplicity of testing can lead to large numbers of erroneous rejections of the null hypothesis of efficient markets following an independent random walk. Even with these adjustments, a few futures contracts significantly violate independence for short lags at the 99 percent level, and a number of equities/lags violate independence at the 95 percent level. When testing at the asset level, futures prices are found not to contain fractional properties, while some equities do.Research limitations/implications– Only a subsample of futures and equities, and only a limited number of lags, are evaluated. It is possible that multiplicity adjustments for larger numbers of tests would result in fewer rejections of independence.Originality/value– This paper provides empirical evidence that violations of the RWH for financial time series are likely to exist, but are perhaps less common than previously thought.

Although it is widely acknowledged that occupants play a critical role in building energy consumption, the characteristics of occupants are not well-represented in building simulation. Many statistic and data-mining technologies have been applied to develop a reliable occupant model. In contrast, rather than attempting to develop the occupant model, this study aims to investigate the correlation between the occupant behavior and energy consumption based on a series of experiments. First, this paper discusses the randomness of the occupants’ presence and behavior. The degree of randomness was verified using a Normalized Cumulative Periodogram (NCP) based on a random walk hypothesis. In addition, the correlation between occupant and energy consumption was investigated using the wavelet coherence. This study shows that, while the occupants’ presence has a randomness, it is not strongly correlated to the energy consumption. The occupants’ active action to control a heating/cooling system (turn on/off) is correlated to the energy consumption. In contrast to the occupant's presence, the occupants’ active action does not follow the random walk, and it has no particular frequency. This means that it is difficult to predict the control action of occupants with a specific time interval.

As development of financial markets has been a growing issue after the financial crisis 2008, this paper has tested efficiency on one of the largest emerging securities markets in the world. It examines lack of reform impact on efficiency of Saudi stock exchange (TASI index) employing random walk hypothesis (RWH) through a battery of parametric and nonparametric tests including autocorrelations, unit root, variance ratio (VR) and Brock, Dechert, and Scheinkman (BDS) test.The study specifically aims to test weak form efficiency before and after massive efforts implemented to reform Saudi exchange. Findings have concluded in a consensus verdict that there is no change observed in TASI index behaviour, and hence it rejected to be a weak-form efficient market. Thus, policy makers and regulators should initiate further reforms; deep regulations and reorganization development to address inefficiency.

This study investigates the stock price behaviour of Indian stock market using BSE Sensex as well as 30 individual underlying shares included in the Sensex. Variance Ratio test for the market index suggests dependency of the aggregate market series, which violates the assumption of Random Walk Hypothesis (RWH). However, the test results manifest mixed behaviour of return generating process for individual companies. The study has also developed one forecasting model for the market index using the ARIMA process. The AR (9) model has been found to be an appropriate model for forecasting future returns to the Sensex, the validity of which is of course, subject to real-world experiments.

We present the results of two efficiency measures that include intraday return predictability measure based on order imbalance and measures of several variance ratio tests on intraday subsamples of nine major Indian agricultural commodity futures (castor seed, cotton oil cake, rape mustard seed, soybean, refined soya oil, crude palm oil, jeera, chana, and turmeric) quoted in the National Commodity and Derivatives Exchange (NCDEX). We perform the efficiency measures on five subsamples with holding periods of 5, 10, 15, 30, and 60 min over two sample periods following the announcement of the merger between the Forward Market Commission (FMC) and Securities Exchange Board of India (SEBI). We compare results of tests of weak-form market efficiency of futures markets between two periods (pre-merger period and post-merger period). Our results confirm that Indian agricultural commodity futures markets continue to remain inefficient in the short-term during both pre-merger and post-merger periods. Based on these findings, it is likely that profitable trading strategies in the short intraday intervals will be available for traders and market participants during post-merger period. Thus, regulators must focus more on policy initiative so as to enhance market quality in order to address such inefficiencies in Indian commodity futures markets.

Variance ratio tests indicate that the equity markets of Argentina, Brazil and Mexico follow random walks, but not those of Chile. The low correlations among the four markets suggest that investments in these countries can contribute to reduce portfolio risk. The research on the random walk hypothesis has been heavily concentrated on the large equity markets of the United States, Canada, Japan and Europe (summers 1986; Fama and French 1986a, 1986b; Lo and MacKinlay 1988, and Poterba and Summers 1988). Even though some studies have been conducted for stock markets of developing countries (Errunza 1983 and Errunza and Losq 1985), little research has been done in Latin American capital markets (Errunza and Losq 1987). This paper employs the variance-ratio test to investigate the random walk hypothesis for the following four Latin American equity markets: Argentina, Brazil, Chile and Mexico. Two versions of the variance-ratio tests are implemented : first, the variance-ratio under the maintained hypothesis of homocedasticity and, second, the heteroscedasticity-robust variance-ratio. The empirical results reported in the paper indicate that the random walk hypothesis is rejected for Chile but it is generally confirmed for Argentina, Brazil and Mexico. Therefore, American investors might not be able to develop investment strategies that can be generate abnormal returns in these three countries. However, the low correlation among these markets suggests that American investors can reduce the risk of their portfolios by diversifying in international stocks of these countries.

Measuring the efficiency of the stock market is an important research topic as there are various implications for investors. This paper investigates the weak form efficiency in the framework of the random walk hypothesis for the stock market in Bangladesh, employing both Non Parametric tests (Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Augmented Dickey-fuller test, and Variance Ratio test). The study uses daily return data for the three stock indices of Dhaka Stock Exchange such as DSI (from 02 January 1993 to 27 January 2013) with a total of 4823 daily return observations, DGEN (from 01 January 2002 to 31 July 2013) with a total of 2903 daily return observations, and DSE-20 (from 01 January 2001 to 27 January 2013) with a total of 3047 daily return observations. The evidence suggests that all the return series do not follow the random walk model, and thus the Dhaka Stock Exchange is inefficient in weak form. Thus, historical stock prices can be used to achieve superior gains from the stock markets in Bangladesh. JEL Classification Code: C22, G10, G14 Handle: http://hdl.handle.net/20.500.11903/gdeb.v4n2.1

This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, Global, Japanese, UK, and United States. It investigates whether Islamic stock indices are more, less, or as efficient as their conventional counterparts. We test four sub-periods of bullish and bearish stock markets, together with the financial meltdown and its recovery, over the period 1997–2012. We use the Escanciano and Lobato’s (2009) automatic portmanteau test (AQ) and Deo’s (2000) test for the MDH. We also apply the automatic variance ratio test (AVR) developed by Choi (1999) and Kim (2009) for the RWH. Over the period from 1997 to 2012, we find that three conventional indices (Europe, Japan, and UK) are efficient, but that none of the Islamic indices are efficient in these markets. During the recent financial crisis, our results indicate slightly more efficiency for the Isla...

This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks, finds that the stock indices are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high frequency financial data.

We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the sectorial indices movement and the correlations among them. Our analysis shows significant auto correlation among the individual sectors and also strong cross-correlation among sectors. We also find that auto correlations in some of the sectors persist in time. This is a very significant result and has not been reported so far in Indian context These findings will be very useful in model building for prediction of price movement of equities, derivatives and portfolio management. We show that the Random Walk Hypothesis is not applicable in modeling the Indian market and Mean-Variance-Skewness-Kurtosis based portfolio optimization might be required. We also find that almost all sectors are highly correlated during large fluctuation periods and have only moderate correlation during normal periods., Comment: 12 pages, 10 figures

The paper investigates the weak-form market hypothesis in the emerging capital market of Nigeria from January 2006 to December 2011. It uses three tests of randomness based on autoregressive technique to check for the presence or otherwise of autocorrelation in daily stock prices and returns from the Nigerian Stock Market. All the tests including the Z-statistics for both stock prices and their returns show significant indications of dependence in return series and hence, of non-randomness. The overall results suggest that the emerging Nigerian Stock Market is not efficient in the weak form. The paper recommends that policy makers and regulatory authorities should enact and implement policy measures and put in place necessary market structures that would promote the efficiency of the Nigerian Stock Market.

As long as financial markets are concerned, for many years’ economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Kuala Lumpur Stock Market, Malaysia is efficient if the Stock Returns follow a random walk. The study employs daily closing prices of Kuala Lumpur Stock Exchange – Bursa Malaysia Composite Index for a time period of 28 Apr 1998 to 30 Dec 2014. The existence of random walk for Bursa Malaysia Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Kuala Lumpur Stock Market was not efficient in the weak form during the testing period. The results suggest that the stock prices in Malaysia do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.

The market refers to the S&P 500 index SPY, which is an important benchmark of US stock performance. The following problem is of great interest: is there any trading system that can “beat” the market consistently? Proponents of the random walk hypothesis (RWH) and efficient market hypothesis (EMH) assert that stocks take an unpredictable path, and that it is impossible for a trader to outperform the overall market in the long run because stocks always trade at their fair values on stock exchanges. Therefore, the buy and hold (BH) investor has the best strategy. This paper showcases a website (GeometricWavelet.com) containing an explicit wavelet trading strategy (WT) that “beats” the market consistently, contradicting the above assertion. The data set of SPY historical prices is used to show that WT “beats” the market. This data set is then fitted with a Geometric Brownian motion (GBM). Simulation shows that WT always outperforms the fitted GBM eventually and has larger risk adjusted returns. The numbers generated show that BH’s performance is far inferior to WT’s in the long run.

The main objective, here, is to explore the economic viability of the solar powered desalination method through a cost and benefit comparative and contrast study. Using the initial construction expenditure, the annual maintenance cost and energy consumed or produced, a variance ratio test of the random walk hypothesis will be implemented to determine their relative financial efficiency. This paper will also utilize the first order autoregressive multivariate estimation model to analyze the methods and identify the most productive process with most financial promise for future investment. The total deviations of the estimated variables from the actual are accounted for by the variations of the variances of the estimates from the actual. The higher the percentage of the unexplained deviation, the higher the risk involved. The portfolio variance will be utilized to measure the investment risk in three desalination industries.

The hypothesis that a stock market price index follows a random walk is tested for the regional stock market of the West African Economic and Monetary Union called the Bourse R¨¦gionale des Valeurs Mobili¨¨res (BRVM) using the Lo and MacKinlay (1988), the Chow and Denning (1993), and the Wright¡¯s (2000) rank-based variance ratio tests. The tests are applied to daily stock price index over the period January 2, 2002 to December 31, 2004, and all three tests reveals that the null hypothesis of random walk can not be rejected in the BRVM. This result is an indication that the BRVM is weak form efficiency and has various implications for investors and regulators. The first would engage their savings into productive investments opportunities and the second will limit their intervention as securities are fairly priced.

The work focuses on linearity or otherwise of Indian Shariah market i.e. CNX NIFTY, CNX500 and S&P BSE TASIS 50 during the period spanning from 01/January/2008 to 31/June/2013. In order to detect the presence, BDS test of Brock et al (1996) was employed and null hypothesis was strongly rejected the existence of Independent Identical Distribution (IID). On further investigation on presence of IID with the help of GARCH (1, 1) and enquiry on whether the non-linear dependence was caused by predictable conditional volatility, it was found that the non-linearity was caused not by serial dependence or linear dependence rather it was caused by volatility clustering and GARCH effect in the return series. This leads to the inference that the market lacks efficiency and rejects the Random Walk Hypothesis. Hence, alerts the policy makers on the predictability of the market even for short horizon which in principle should not exist, as Shariah market is expected not to give opportunity for abnormal return.

Random walk hypothesis is one of the models designed to empirically test the stock price behavior. Rejection of Random walk hypothesis (RWH hereafter) implies that stock prices or stock returns can be predicted by using their own previous values. The objective of this study is to test the RWH in Pakistani equity market which is an important emerging market and moreover, characterized by high turnover and high price volatility. This study incorporates the monthly data of 83 individual stocks categorized in 26 sector, covering the period from February 2009 to December 2015. In order to check the random walk hypothesis Augmented Dickey Fuller test, the Phillip-Perron Test and The Runs test are applied. Findings suggest that the KSE-100 stock returns are predictable on the basis of past information and the investors can earn the abnormal profit by following the systematic pattern. In other words, Pakistani stock market does not reflect the weak form efficiency.

Sediment concentration in open channels is fundamental to modeling sediment and pollutant transport. This study employs Renyi entropy for deriving the vertical distribution of suspended sed...

Mogućnost predviđanja kretanja tržišta predstavlja zanimljiv problem, kako financijskom sektoru, tako i ekonomskoj znanosti, a pozitivno rješenje istoga predstavljalo bi rušenje „Hipoteze Slučajnog Hoda“ (Random Walk Hypothesis) s ekonomske strane te novu, izrazito usmjerenu i preciznu strategiju trgovanja sa strane financijskog sektora. Prepreku uspješnom predviđanju predstavlja velik broj poznatih (i nepoznatih!) faktora koji utječu na kretanje cijena i tehničkoj analizi daju više eksplanatornu, a manje prediktivnu moć. Korištenjem dostupne računalne procesne snage možda je moguće u takvom nelinearnom sustavu otkriti poveznice među faktorima prije same promjene cijena te ih uspješno predvidjeti. U ovom sam radu pokušao iste otkriti korištenjem neuronskih mreža, jedne od varijanti nadgledanog učenja, implementiranih u Javi (Weka biblioteka). Koristeći tehničke indikatore i oscilatore nekog vremenskog perioda cijena određene dionice ili indeksa kao ulaz, izlaz je trebao dati budući smjer (manja preciznost) ili cijenu (viša preciznost) iste dionice/indeksa. Iako je preciznost unutar uzorka vrlo visoka, pokazalo se da je još uvijek nedovoljna s obzirom na raspon kretanja cijena, a u potpunosti neupotrebljiva s obzirom na smjer kretanja cijena izvan uzorka. Amplituda greške u predviđenoj veća je od amplitude kretanja stvarne cijene, stoga ne pruža poboljšanje u određivanju buduće cijene. Također, predviđanje ne uspijeva na vrijeme prepoznati oštrije promjene u cijeni te učestalo kasni za većim skokovima i promjenama smjera. Rezultati pokazuju da ovakav pristup ne nudi rješenje pitanja slučajnog hoda i ne rezultira informacijama o stanju tržišta koje bi koristile potencijalnim investitorima. Međutim, sam pristup korištenja nadgledanog učenja u takvim nelinearnim sustavima potencijalno obećava, ali samo korištenjem opsežnijih metoda od ovih korištenih u radu, te složenijim implementacijama neuronskih mreža.

We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based unit root test by Fan and Gencay (2010) along with a battery of unit root tests. We also examine the sensitivity of the wavelet-based unit root test. Our wavelet-based unit root tests show evidence that rejects the null of the unit root for all of the BRICS countries except for the Russian Federation. Hence, the tests provide support for the predictability of stock market indices in these economies on the basis of historical information. However, there is a need for caution because the results are based on a relatively small sample of only 11 years of monthly observations.

This article investigates how external shocks affect tourist arrivals to Cambodia. The study relies on the random walk approach to test whether the shocks to tourist arrivals are temporary or persistent in nature. To facilitate the empirical investigation, the study applies and compares the results from different unit root tests and variance-ratio tests to the monthly tourists' arrival data from 1994 to December 2012. Both tests provide evidence of random walk hypothesis, implying that shocks to tourists' arrival to Cambodia have a persistent effect requiring short- to medium-term policies to combat the vulnerability due to those shocks. Public–private coordinated policies could reduce the impact, as we found that once the crisis (external shocks) is minimized, the magnitude of the shocks decays slowly.

Since the birth of the financial literature until the 1970s, the efficient market hypothesis has been regarded as a central hypothesis. In the mid-1970s, there were theoretical and empirical evidence stating that the EMH seems untouchable. However, recently there has been an emergence of arguments doubting the EMH. The EMH implicitly indicates that stock prices can follow a random walk. Currently, financial theory has shown that stock prices do not follow a random walk. In this regard, our empirical study rejected the hypothesis of a random walk for 27 indices out of 28 studied. We confirm that the studied indices time series do not follow a random walk, and therefore we reject the financial markets efficiency hypothesis in its weak form. This result corroborates those of Fama and French (1992.993), DeBondt and Thaler (1985), Lo and MacKinlay (1991), Jagadeesh and Titman (1993) and Shleifer and Vishny (1997). Therefore, financial markets efficiency hypothesis in its weak form is also rejected. This result is logical given the limited capacity of the classical theory in explaining abnormal returns such as bubbles, crashes and excess volatility.

Random walk hypothesis is a hypothesis that explains theoretically the difficulty in forecasting in financial market. Various tests for the hypothesis have been developed so far but it is known that those tests suffer from low power and size distortion. In this article, a sign test based on slopes are suggested to overcome these difficulties. A simulation study is conducted to compare this test to the often used Dickey and Fuller (1979) test.

Stock exchange automation, characterized by the replacement of floor trading systems by electronic trading systems, is one of the main restructuring processes observed in global capital markets in recent decades. This paper investigates the effects of automation in the São Paulo Stock Exchange (B3), which adopted an electronic trading system in October 2005. Empirical analysis of the Bovespa index rejects the random walk hypothesis for the periods before and after B3 automation, and provides evidence of distinct volatility regimes. After automation, there is an increase in the linear dependence of IBovespa returns, suggesting a negative effect of automation on the Brazilian stock market’s efficiency. On the other hand, in the same period, there is evidence for a reduction in the long-term persistence of conditional volatility, in response to shocks to returns.

The main purpose of the study is to determine whether the equity markets of Brazil, Russia, India and China (BRIC) may be considered weak-form efficient in recent years. The major findings using daily data and a bias-free statistical technique with a sample spanning from September 1995 to March 2010 indicate that the results from the last sub-periods, including the subprime crisis, support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of BRIC countries.

In this paper I addressed the random walk hypothesis of the permanent income theory (RW-PIH) for Romanian economy in a new vision based on a continuous time approach. In the literature exists several econometric ways to test for the implications raised by the new RW-PIH theory advocated by Hall (1978) , among which perhaps the most used is the class of unit roots test. As pointed out by Cochrane in successive works, the use of unit roots test for stationarity could provide ambiguous information from different reasons. In that sense, here I switch to a continuous environment that allows for a much larger view on what we call stationarity in discrete time. For example, the population of a stochastic process may follow an Ornstein-Uhlenbeck style process, but because the short sample counterpart we found signs for non-stationarity in discrete time. For this purpose I have restored three methods to fit an Ornstein-Uhlenbeck process on the Romanian non-durable goods consumption, in order to identify some important stochastic properties of the underlined series. Also in the current paper I emphasized the following problem: in the emerging countries, heteroskedasticity of the shocks which affect the data generating process for consumption may be due to the sharp switching to different states caused by several types of jumps and not necessarily to the way in which the agents set their decisions

This paper examines the nonstationary and nonlinear features of the non-renewable resource markets: the crude oil (US West Texas Intermediate and UK Brent), bituminous coal and natural gas markets. In particular, we achieve this goal by using the Markov switching unit root regression. This approach is attractive because it allows price to switch between stationary and nonstationary regimes (partial nonstationarity). It also allows price to switch between two stationary regimes (varied stationarity) or to switch between two nonstationary regimes (varied nonstationarity). The results of a range of non-linear tests show that the independently and identically distributed (i.i.d.) hypothesis or the random walk hypothesis is untenable for the non-renewable resource prices. The results from the Markov regression indicate that, in the cases of US West Texas Intermediate, UK Brent as well as bituminous coal, prices are characterized by the local nonstationarity in both regimes, and therefore varied nonstationarity is sustained. The price of natural gas is characterized by partial nonstationarity, indicating that this market is inconsistent with the efficient market.

The aim of this paper is to investigate random walk in Korea stock exchange. The results of unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. The null hypothesis of random walk is rejected for the two indexes and therefore the markets are no weak-form efficiency.

The financial literature contains numerous empirical studies that consider the dependency found in the movements of stock market prices to be insignificant, concluding that historical series of prices do not sufficiently explain their future development. However, other authors have found the dependency in such movements to be significant, thus refuting the random walk hypothesis of stock market prices. In a context of portfolio management, the purpose of this study is to determine whether the weak efficient market hypothesis is fulfilled for the case of the Spanish Future Stock Market. The study has been realized from the intraday quotations of IBEX 35 future during the period 2006-2010.

Investors and researchers have been paying increasing attention to the emerging stock markets. In this research we study whether or not weak-form efficiency, which is relatively popular in emerging stock markets, holds for the Vietnamese stock market. We check the random walk hypothesis for weekly stock market returns employing three statistical techniques namely autocorrelation test, variance ratio test, and runs test. Data for analysis was collected from July 28 th 2000 (the first trading session) to July 28 th 2013 (13 years of market operation). Through the graph showing movements in daily prices of the chosen representative stocks and the Vietnam stock index (VN-Index), it is visual that the Vietnamese stock market is not efficient; the fact that psychological factors strongly influence investors is among elements making stock prices predictable. Estimated results have strongly rejected the random walk hypothesis for the whole period of the samples and for the first two cycles of the market (except for the third cycle). Particularly results from the third cycle of the Vietnamese stock market alone (from February 24 th 2009 to July 28 th 2013) have provided evidence supporting random walk hypothesis in VN-index. It shows the fact that the efficiency of the Vietnamese stock market has gradually been improved during nearly 10 years in operation. The main conclusion drawn from results of this research is that it may be the case that the weak-form efficient market hypothesis does not hold for the Vietnamese stock market.