The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
Open accessAbstract
In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies.The random walk model is strongly rejected for the entire sample period and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios.Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities.Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Cited by
Urquhart, A. (2016) · Economics Letters · doi:10.1016/j.econlet.2016.09.019 · Cited by 1,338
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Self-citationShort-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles
Kaminsky, G. L., & Schmukler, S. L. (2008) · Review of Finance · doi:10.1093/rof/rfn002 · Cited by 276
Gerritsen, D. F. (2016) · International Review of Financial Analysis · doi:10.1016/j.irfa.2016.06.008 · Cited by 32
Metadata
- Authors
- Lo, A., & MacKinlay, A. C.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1987-02
- OpenAlex
- W2166414208
- Cited by
- 735
- References
- 2
- Type
- report
- Language
- en
- Open access
- green
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- Lo, A., & MacKinlay, A. C. (1987). Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test. National Bureau of Economic Research. https://doi.org/10.3386/w2168
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