The Existence of Random Walk in the Philippine Stock Market: Evidence from Unit Root and Variance-Ratio Tests

• 발행기관: 한국유통과학회
• 저자명: Abraham C. CAMBA Jr. Aileen L. CAMBA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.10, 523~530쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.10.30

영문 초록

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay’s (1988) conventional variance ratio test, and Chow-Denning’s (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum/z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

목차

1. Introduction

2. Theoretical Foundation

3. Literature Review

4. Research Methodology

5. Results and Discussion

6. Conclusions

References

키워드

Chow-Denning Maximum Statistics Random Walk Unit Root Variance Ratio Test Wald Test Statistic