Do stock prices follow random walk?: Some international evidence

Document Type

Article

Publication Title

International Review of Economics and Finance

ISSN

1059-0560

Volume

1

Issue

4

DOI

10.1016/1059-0560(92)90020-D

First Page

315

Last Page

327

Publication Date

12-1-1992

Abstract

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.

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