Variance ratio tests of random walk: An overview

Amélie Charles (1) , Olivier Darné (2)

1 Audencia Recherche
2 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique

This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America.

Mots clés: Random walk hypothesis; Stock market efficiency; Variance-ratio tests

Domaines: Gestion et management

Amélie Charles, Olivier Darné. Variance ratio tests of random walk: An overview. Journal of Economic Surveys, 2009, 23 (3), pp.503-527. ⟨10.1111/j.1467-6419.2008.00570.x⟩. ⟨hal-00771078⟩