All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Dat Bue Lock
''The Taiwan stock market does follow a random walk''
( 2007, Vol. 7 No.3 )
Applying the Lo and MacKinlay variance ratio test on the weekly returns from the Taiwan stock market from 1990 to mid 2006, I obtained results strongly indicative of the fact that not only does the Taiwan composite stock index move in a random walk fashion, returns for the individual stocks do so as we. Previous authors employing the same methodology obtained opposite results, namely, that the movements of the Taiwan stock composite index do not follow a random walk.
Keywords: random walk
Manuscript Received : Feb 06 2007 Manuscript Accepted : Mar 05 2007

  This abstract has been downloaded 1906 times                The Full PDF of this paper has been downloaded 153794 times