More documents from Borges, Maria Rosa
More documents from Applied Economics

Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Random Walk Tests for the Lisbon Stock Market

[journal article]

Borges, Maria Rosa

fulltextDownloadDownload full text

(541 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:

Further Details
Abstract This paper reports the results of tests on the weak-form market efficiency applied to the PSI-20 index prices of the Lisbon Stock Market from January 1993 to December 2006. As an emerging stock market, it is unlikely that it is fully information-efficient, but we show that the level of weak-form efficiency has increased in recent years. We use a serial correlation test, a runs test, an augmented Dickey-Fuller test and the multiple variance ratio test proposed by Lo and MacKinlay (1988) for the hypothesis that the stock market index follows a random walk. Non-trading or infrequent trading is not an issue because the PSI-20 only includes the 20 most traded shares. The tests are performed using daily, weekly and monthly returns for the whole period and for five sub-periods which reflect different trends in the market. We find mixed evidence, but on the whole, our results show that the Portuguese stock market index has been approaching a random walk behavior since year 2000, with a decrease in the serial dependence of returns.
Classification Economic Sectors; Economic Statistics, Econometrics, Business Informatics
Document language English
Publication Year 2009
Page/Pages p. 631-
Journal Applied Economics, 43 (2009) 5
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)