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The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992
Author(s) -
Blasco Natividad,
Del Rio Cristina,
Santamaría Rafael
Publication year - 1997
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00128
Subject(s) - random walk , random walk hypothesis , economics , stock market , financial economics , stock (firearms) , econometrics , mathematics , statistics , geography , context (archaeology) , archaeology
In this paper we test the random walk hypothesis in the Spanish stock market using disaggregated daily data base spanning the period January 1980 to December 1992. We find that daily returns are strongly correlated and nonlinear dependent. Furthermore, using the variance‐ratio test, that is robust to heteroscedasticity, the results suggest that the rejection of the random walk hypothesis cannot be attributed completely to the effects of time varying volatilities. In this sense, the price changes can be potentially predictable over, at least, short time spans.