𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992

✍ Scribed by Natividad Blasco; Cristina Del Rio; Rafael Santamaría

Book ID
108567672
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
198 KB
Volume
24
Category
Article
ISSN
0306-686X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Option-Expiration Effects in Small Marke
Option-Expiration Effects in Small Markets: The Spanish Stock Exchange
✍ P. Corredor; P. Lechón; R. Santamaría 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 155 KB

## Abstract This study analyzes the effect of the expiration of the Ibex‐35 Index derivatives, as well as the first four stock options traded in the Spanish Equity Derivatives Exchange, on the return, conditional volatility, and trading volume of the underlying assets. The analysis covers the perio

Testing the random walk hypothesis for r
Testing the random walk hypothesis for real exchange rates
✍ In Choi 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 183 KB 👁 1 views

This paper tests the random walk hypothesis for the log-dierenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is calculated by u