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SALU-Commerce & Economics Review

Authors:
Ume Salma Akbar, Niaz Ahmed Bhutto and Agha Jahanzeb

https://dx.doi.org/10.5281/zenodo.3692293

Abstract:
This study attempts to re-examine the random walk hypothesis for BRICS-P countries; Brazil, Russia, India, China, South Africa and Pakistan by using daily stock returns ranging from January 2000 to March 2017. The hypothesis is tested through Variance Ratio Tests including the conventional Lo- MacKinlay, Chow Denning, new Wright’s rank, Sign tests, Hang and Kim sub sampling tests. Results under all individual and joint testing methods show that the stock prices in sample countries do not follow the random walk. These findings indicate intertemporal predictability that relates with investors’ astute. This study recommends investors to focus more to capture risk-adjusted abnormal returns and to devise their trading strategies accordingly.


Editor-In-Chief

Prof. Dr. Ikhtiar Ali Ghumro

     ikhtiar.ghumro@salu.edu.pk

SALU-Commerce and Economics Review
ISSN: 2415-5284,2522-3291
Country:      Pakistan
Copus: No       Wos: No
Subject Area Position
Business Management and Accounting      
Parameters Raw Score HJRS Percentile
EFTTM*--
AIFTM*--
SJR--
H-Index--
CD2--
SNIP*--
Publisher: Shah Abdul Latif University Khairpur

Subject Area and Sub Catagory

Business, Management and Accounting

JPI CATAGORY
Y
Medallion
Null
Subject Area Position

Journal Info

P-ISSN: 2415-5284

E-ISSN: 2522-3291

Year Started: 2015

Frequency: Annual

Language: English

Publisher: Shah Abdul Latif University Khairpur

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