The random walk hypothesis in the Spanish stock market: 1980-1992

Journal of Business Finance and Accounting

Volumn 24, Issue 5, 1997, Pages 667-684

  Blasco, Natividad ^a   Del Rio, Cristina ^b   Santamaría, Rafael ^b  

^a UNIVERSITY OF ZARAGOZA   (Spain)

^b PUBLIC UNIVERSITY OF NAVARRE   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4644367994     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00128     Document Type: Article

References (36)

1. Ambrose, B.W., E. Weinstock and M.D. Griffiths (1993), 'Fractal Structure in the Capital Markets Revisited', Financial Analysts Journal (May-June), pp. 73-77.
2. Berges, A. (1984), El mercado español de capitales en un contexto international (Ministerio de Economía y Hacienda, Madrid).
3. Box, G.E.P. and D.A. Pierce (1970), 'Distribution of Residual Autocorrelations in Autogressive Integrated Moving Average Time Series Models', Journal of the American Statistical Association, Vol. 65, pp. 1509-1526.
4. Brock, W.A. and C.L. Sayers (1988), 'Is the Business Cycle Characterized by Deterministic Chaos?', Journal of Monetary Economics, Vol. 22, pp. 71-90.
5. -, W.D. Dechert and J.A. Scheinkman (1987), A Test for Independence Based on Correlation Dimension', Working Paper (University of Wisconsin at Madison, University of Houston and University of Chicago).
6. -, D.A. Hsieh and B. LeBaron (1991), Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence (The MIT Press, Cambridge, Massachusetts).
7. Engle, R. (1982), 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflations', Econometrica, Vol. 50, pp. 987-1007.
8. Espitia, M. and R. Santamaría (1993), El mercado decapitales en España: su interacción con los mercados internacionales' (Fundación BEX. Unpublished).
9. Fama, E. and K. French (1988), 'Permanent and Temporary Components of Stock Returns', Journal of Political Economy, Vol. 96, pp. 246-273.
10. Fuller, W.A. (1976), Introduction to Statistical Time Series (Wiley).
11. Granger, C. and A. P. Andersen (1978), An Introduction to Bilinear Time Series Models (Vandenhoeck & Ruprecht: Gottingen).
12. Guimaraes, R.M.C., B.G. Kingsman and S.J. Taylor (1989), A Reappraisal of the Efficiency of Financial Markets (Springer-Verlag).
13. Harvey, A.C. (1993), Time Series Models (Harvester Wheatsheaf).
14. Hinich, M.J. and D.M. Patterson (1985), 'Evidence of Nonlinearity in Daily Stock Returns', Journal of Business and Economics Statistics, Vol. 3, pp. 69-77.
15. Hsieh, D.A. (1991), 'Chaos and Nonlinear Dynamics: Application to Financial Markets', Journal of Finance, Vol. 46, No.5 (December), pp. 1839-1877.
16. Jegadeesh, N. (1990), 'Evidence of Predictable Behaviour of Security Returns', Journal of Finance, Vol. 45, No.3, pp. 881-898.
17. Kaen, F.R. and R.E. Rosenman (1986), 'Predictable Behaviour in Financial Markets: Some Evidence in Support of Heiner's Hypothesis', The American Economic Review, Vol. 76, No. 1, pp.212-20.
18. Kim, M.J., C.R. Nelson and R. Startz (1991), 'Mean Reversion in Stock Prices: A Reappraisal of the Empirical Evidence', Review of Economic Studies, Vol. 58, pp. 515-528.
19. Lamoureux, C.G. and W.D. Lastrapes (1990), Eeteroskedasticity in Stock Return Data: Volume versus GARCH Effects', The Journal of Finance, Vol. 45, No.1, pp. 221-229.
20. Lee, U. (1992), 'Do Stock Prices Follow Random Walk?: Some International Evidence', International Review of Economics and Finance, Vol. 1, No. 4, pp. 315-27.
21. Liu, C. and J. He (1991), A Variance-Ratio Test of Random Walks in Foreign Exchange Rates', The Journal of Finance, Vol. 46, No.2, pp. 773-785.
22. -, C.W.J. Granger and W.P. Heller (1992), 'Using the Correlation Exponent to Decide Whether an Economic Series is Chaotic', Journal of Applied Econometrics, Vol. 7, S25-S39.
23. Ljung, G.M. and G.E.P. Box (1978), 'On a Measure of Lack of Fit in Time Series Models', Biometrika, Vol. 66, pp. 297-303.
24. Lo, A. and A.C. MacKinlay (1988), 'Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test', The Review of Financial Studies (Spring), pp. 41-66.
25. MacDonald, R. and D.M. Power (1993), 'Persistence in UK Share Returns: Some Evidence From Disagregated Data', Applied Financial Economics, Vol. 3, pp. 27-38.
26. Mills, T.C. (1991), 'Assessing the Predictability of UK Stock Market Returns Using Statistics Based on Multiperiod Returns', Applied Financial Economics, Vol. 1, pp. 241-245.
27. - (1993), 'Is There Long-Term Memory in UK Stock Returns?', Journal of Econometrics, Vol. 53, pp. 165-188.
28. Ortega, R. (1975), 'Los efectos de la inflación sobre el precio el precio de las acciones y la inflación y el precio delas acciones: intentos de actualización', Información Comerical Española, No. 504-505, pp.101-131.
29. - (1976), 'La política monetaria y el mercado de acciones', Información Comercial Española, No.518, pp. 25-39.
30. Perron, P. (1986), 'Tests of Joint Hypotheses for Time Series Regression with a Unit Root', Cahier de Recherche no 2086 (C.R.D.E., University of Montreal, Montreal).
31. - (1988), 'Trends and Random Walks in Macroeconomic Time Series', Journal of Economic Dynamics and Control, Vol. 12, pp. 297-332.
32. Phillips, P.C.B. (1987), 'Time Series Regression With Unit Roots', Econometrica, Vol. 55, pp. 277-302.
33. - and P. Perron (1988), 'Testing for a Unit Root in Time Series Regression', Biometrika, Vol. 75, pp. 335-346.
34. Poterba, J.M. and L.H. Summers (1988), 'Mean Reversion in Stock Prices: Evidence and Implications', Journal of Financial Economics, Vol. 22, pp. 27-59.
35. Said, S.E. and D. Dickey (1984), 'Testing for Unit Roots in ARMA Models of Unknown Order', Biometrika, Vol. 71, pp. 599-607.
36. Sakai, H. and H. Tokumaru (1980), 'Autocorrelations of a Certain Chaos', IEEE Transactions on Acustics, Speech and Signal Processing, Vol. 1, pp. 588-590.