文章基本信息

标题：The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets
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作者：Chaido Dritsaki
期刊名称：The Romanian Economic Journal
印刷版ISSN：1454-4296
出版年度：2011
卷号：40
页码：25-56
出版社：Editura ASE
摘要：This paper examines the random walk hypothesis inthe VisegradCountriesstock market as emerging stock markets. The results both from autocorrelation analysis and unit root tests imply that monthly stock price indices of the VisegradCountries follow the random walk process. This means that the stock markets of all the VisegradCountries are efficient in the weak form. By employing cointegration and causality tests, we investigate the long-run and short-run relationships among these markets of the Visegrad countries and interpret the findings in the context of capital market integration
关键词：Random Walk Hypothesis;Weak Form Efficiency; Stock ;Market; Visegrad;Countries;Unit root; Cointegration; Causality