Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/208447 
Year of Publication: 
2001
Series/Report no.: 
Working paper No. 7-2001
Publisher: 
Copenhagen Business School (CBS), Department of Economics, Frederiksberg
Abstract: 
This paper applies six recently developed nonparametric tests of serial independence to monthly US stock returns. Findings of previous studies based on the BDS test are sup-ported since most of the new tests also reject the random walk hypothesis. Furthermore, power properties of the new tests are compared with those of the BDS test. The latter has much power against ARCH and GARCH alternatives whereas some of the more recent tests are superior against other alternatives. Finally, the power study of this paper shows, contrary to common belief, that ARCH and GARCH effects do not seem to explain rejec-tion of the random walk.
Subjects: 
Random walk
nonparametric tests
stock returns
JEL: 
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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