References
- Ayadi , OF and Pyun , CS . 1994 . An application of variance ratio test to the Korean securities market . Journal of Banking and Finance , 18 : 643 – 58 .
- Belaire-Franch , J and Contreras , D . 2004 . Ranks and signs-based multiple variance ratio tests , Working Paper of Department of Economic Analysis, University of Valencia .
- Belaire-Franch , J and Opong , KK . 2005a . A variance ratio test of the behaviour of some FTSE equity indices using ranks and signs . Review of Quantitative Finance and Accounting , 24 : 93 – 109 .
- Belaire-Franch , J and Opong , KK . 2005b . Some evidence of random walk behavior of Euro exchange rates using ranks and signs . Journal of Banking and Finance , 29 : 631 – 43 .
- Cecchetti , SG and Lam , PS . 1994 . Variance-ratio tests: small sample properties with an application to international output data . Journal of Business and Economic Statistics , 12 : 177 – 86 .
- Chow , KV and Denning , KC . 1993 . A simple multiple variance ratio test . Journal of Econometrics , 58 : 385 – 401 .
- Dickey , DA and Fuller , WA . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of American Statistical Association , 74 : 427 – 31 .
- Fong , WM , Koh , SK and Ouliaris , S . 1997 . Joint variance-ratio tests of the Martingale hypothesis for exchange rates . Journal of Business and Economic Statistics , 15 : 51 – 9 .
- Harvey , CR . 1994 . Conditional asset allocation in emerging markets , Working Paper No. 4623 Cambridge, MA : National Bureau of Economic Research .
- Jarque , CM and Bera , AK . 1987 . A test for normality of observations and regression residuals . International Statistical Review , 55 : 163 – 72 .
- Lee , CI and Mathur , I . 1999 . Efficiency tests in the Spanish futures markets . Journal of Futures Markets , 19 : 5 – 77 .
- Lee , CI , Pan , MS and Liu , YA . 2001 . On market efficiency of Asian foreign exchange rates: evidence from a joint variance test and technical trading rules . Journal of International Financial Markets, Institutions and Money , 11 : 199 – 214 .
- Liu , CY and He , J . 1991 . A variance-ratio test of random walks in foreign exchange rates . Journal of Finance , 46 : 773 – 85 .
- Lo , AE and Mackinlay , AC . 1988 . Stock market prices do not follow random walks: evidence from a simple specification test . The Review of Financial Studies , 1 : 41 – 66 .
- Lo , AE and Mackinlay , AC . 1989 . The size and power variance ratio test in finite samples: a Monte Carlo investigation . Journal of Econometrics , 40 : 203 – 38 .
- Luger , R . 2003 . Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity . Journal of Econometrics , 115 : 259 – 76 .
- Wright , JH . 2000 . Alternative variance-ratio tests using ranks and signs . Journal of Business and Economic Statistics , 18 : 1 – 9 .