Journal article | Zeitschriftenartikel
Random Walk Tests for the Lisbon Stock Market
This paper reports the results of tests on the weak-form market efficiency applied to the PSI-20 index prices of the Lisbon Stock Market from January 1993 to December 2006. As an emerging stock market, it is unlikely that it is fully information-efficient, but we show that the level of weak-form efficiency has increased in recent years. We use a serial correlation test, a runs test, an augmented Dickey-Fuller test and the multiple variance ratio test proposed by Lo and MacKinlay (1988) for the hypothesis that the stock market index follows a random walk. Non-trading or infrequent trading is not an issue because the PSI-20 only includes the 20 most traded shares. The tests are performed using daily, weekly and monthly returns for the whole period and for five sub-periods which reflect different trends in the market. We find mixed evidence, but on the whole, our results show that the Portuguese stock market index has been approaching a random walk behavior since year 2000, with a decrease in the serial dependence of returns.
- Umfang
-
Seite(n): 631-
- Sprache
-
Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Applied Economics, 43(5)
- Thema
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Wirtschaftssektoren
- Ereignis
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Geistige Schöpfung
- (wer)
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Borges, Maria Rosa
- Ereignis
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Veröffentlichung
- (wann)
-
2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-242614
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Borges, Maria Rosa
Entstanden
- 2009
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