Testing the Random Walk: The Case of Hong Kong Stock Exchange

Authors

  • Latifa Fatnassi Chaibi Faculty of Economics and Management of Tunis

Abstract

The purpose of this paper is to investigate random walk in HongKong stock exchange. The unit root, autocorrelation and the variance ratio tests are applied, using daily data on returns of two indexes in the period 1997:7 to 2012:12. For two indexes, the null hypothesis of random walk is rejected and therefore the markets are no weak-form efficiency.

Keywords:

Random walk hypothesis, Unit root test, Autocorrelation test, Variance ratio test, Hong Kong stock exchange, Weak-form effeciency

Published

2014-06-16

How to Cite

Chaibi, L. F. . (2014). Testing the Random Walk: The Case of Hong Kong Stock Exchange. Journal of Empirical Studies, 1(2), 54–61. Retrieved from http://archive.conscientiabeam.com/index.php/66/article/view/2470

Issue

Vol. 1 No. 2 (2014)

Section

Articles