dc.contributor.author | Borges, Maria Rosa | de |
dc.date.accessioned | 2011-04-01T04:59:00Z | de |
dc.date.accessioned | 2012-08-30T04:45:49Z | |
dc.date.available | 2012-08-30T04:45:49Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/24261 | |
dc.description.abstract | This paper reports the results of tests on the weak-form market efficiency applied to the PSI-20 index prices of the Lisbon Stock Market from January 1993 to December 2006. As an emerging stock market, it is unlikely that it is fully information-efficient, but we show that the level of weak-form efficiency has increased in recent years. We use a serial correlation test, a runs test, an augmented Dickey-Fuller test and the multiple variance ratio test proposed by Lo and MacKinlay (1988) for the hypothesis that the stock market index follows a random walk. Non-trading or infrequent trading is not an issue because the PSI-20 only includes the 20 most traded shares. The tests are performed using daily, weekly and monthly returns for the whole period and for five sub-periods which reflect different trends in the market. We find mixed evidence, but on the whole, our results show that the Portuguese stock market index has been approaching a random walk behavior since year 2000, with a decrease in the serial dependence of returns. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.title | Random Walk Tests for the Lisbon Stock Market | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Applied Economics | de |
dc.source.volume | 43 | de |
dc.source.issue | 5 | de |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Economic Sectors | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Wirtschaftssektoren | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-242614 | de |
dc.date.modified | 2011-04-01T04:59:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | -1 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.source.pageinfo | 631- | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 1090304 | |
internal.identifier.journal | 21 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/00036840802584935 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |