New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach

Tiwari, Aviral Kumar; Kyophilavong, Phouphet

doi:10.1016/j.econmod.2014.07.005

Cited by 39 publications

(26 citation statements)

References 13 publications

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“…The findings revealed a negative impact of the crises on most of the markets' efficiency, however; the crisis affected the stock market of Hong Kong the most. Tiwari and Kyophilavong (2014) examined the BRICS stock indices for testing the random walk hypothesis. The findings provided sufficient evidence that rejected the null hypothesis of a sample having unit root for entire BRICS countries except for Russian Federation thus providing evidence for the predictable nature of equity markets in these countries.…”

mentioning

confidence: 99%

Are Stock Prices a Random Walk? An Empirical Evidence of Asian Stock Markets

et al. 2018

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Investigating if the market is efficient is an old issue as market efficiency is imperative for channeling investments to best-valued projects and its importance endures. There is contradictory evidence in the literature provided by empirical researches. The primary purpose of this research has been to find out whether share prices are a random walk process by applying multiple unit root tests, Runs Test and newly developed State Space Model. The empirical findings of the study provide sufficient evidence that the stock prices of KSE 100 Index, S & P BSE 500 Index, and CSE All Share Index is not a random walk process and are thus weak form inefficient hypothesis. In this study, the concept of the random walk is examined considering only the stock markets while bypassing the other asset markets. This research supply exciting facts about independent samples from Pakistan, India, and Bangladesh and complement the existing literature on emerging markets.DOI: 10.15408/etk.v17i2.7102

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confidence: 99%

Are Stock Prices a Random Walk? An Empirical Evidence of Asian Stock Markets

et al. 2018

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“…Numerous articles have examined the efficiency of the world's stock markets. The empirical evidence reports mixed results, either finding evidence to reject the RWH (Summers 1986;Lo and MacKinlay, 1988;Ayadi and Pyun (1994); Urrutia (1995); Grieb and Reyes (1999); and Karemera et al (1999); Darrat and Zhong, 2000;Narayan, 2008;Hasanov, 2009;Tiwari and Kyophilavong, 2014) or to conclude that stock price behaviour agrees with the efficient market hypothesis (Shiller 1989;Tabak 2003;Narayan 2005;Narayan and Smyth 2005;Qian et al 2008;Alexeev and Tapon 2011;Gozbasi et al 2014). Of the referenced studies, Poterba and Summers (1988) argue that there is limited theoretical ground supporting the null hypothesis that stock prices follow a random walk.…”

Section: Related Literature and Hypothesis Developmentmentioning

confidence: 99%

“…How efficient are the world's stock markets? This question has continued to elicit the interest of researchers ever since the work of Samuelson (1965) and the persuasive treatise of Fama (1965Fama ( , 1970Fama ( , 1991; see, for example, Lo and MacKinlay (1988); Poterba and Summers (1988); Shiller (1989); Urrutia (1995); Kavussanos and Dockery (2001); Al-Khazali et al (2007); Kim and Shamsuddin (2008); Wang et al (2009); Borges (2010); Rejichi and Aloui (2012); Sensoy (2013); Gozbasi et al (2014); Tiwari and Kyophilavong (2014); Metghalchi et al (2015), Anagnostidis et al (2016), and Seetharam et al (2017). Fama's (1991) narrative on the categories of market efficiency has triggered a considerable amount of empirical research that seeks to determine whether developed and nascent capital markets reveal themselves to be specifically weak-form or semi-strong-form efficient capital markets; for a discussion, see Lim and Brooks (2011).…”

Section: Introductionmentioning

confidence: 99%

Testing for efficiency in the Saudi stock market: does corporate governance change matter?

Al‐Faryan

Dockery

2020

Rev Quant Finan Acc

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We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

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“…One of the most common approaches is to test for a unit root in stock prices (Tiwari and Kyophilavong, 2014). If stock prices contain a unit root, this implies that the random walk hypothesis is accepted.…”

Section: Asian Economic and Financial Reviewmentioning

confidence: 99%

“…The traditional unit root tests, such as the Augmented Dickey Fuller (ADF), the Phillips and Perron (1988) or the Kwiatkowski et al (1992) tests, were widely used in the literature to test for the EMH (Maghyereh, 2003;Marasheh and Shrestha, 2008;Al-Jafari and Altaee, 2011;Salameh et al, 2011;Al-Ahmad, 2012;Al-Jafari and Abdulkadhim, 2012;Saeedi et al, 2014;Tiwari and Kyophilavong, 2014). But, a limitation of these tests is that they fail to account for an existing break in the data, which could be resulted from any significant economic, financial, or political events.…”

Section: Asian Economic and Financial Reviewmentioning

confidence: 99%