Do stock prices follow random walk?: Some international evidence
International Review of Economics and Finance
Although empirical studies in the past found the random walk hypothesis for the U.S. stock returns difficult to reject, recent studies report that U.S. stock returns can be predicted from past returns. In this study, the issue of whether the aggregate weekly stock returns of 10 other industrialized countries-namely, Australia, Belgium, Canada, France, Italy, Japan, Netherlands, Switzerland, United Kingdom, and West Germany-follow the random walk process is investigated for the 1967-1988 period. A variance ratio test that is heteroscedasticity- robust is employed. It is found that the random walk model is still the appropriate characterization of the weekly return series for the majority of these countries. © 1992.
Do stock prices follow random walk?: Some international evidence.
International Review of Economics and Finance, 1(4), 315–327.