Do Asian stock market prices follow random walks? Evidence from the variance ratio test

Abstract

Using a basis of the variance ratio statistics with both homoscedastic and hetero-scedatic error variances (Lo and Mackinlay, 1988) the random walk hypothesis of the Asian stock markets is tested. Of the developed and emerging markets, it is found that the random walk hypothesis for the markets of Korea and Malaysia is rejected for all different holding periods. In addition, the random walk hypothesis is also rejected for the Hong Kong, Singapore, and Thailand markets using the heteroscedasticity-consistent variance ratio estimator