Skip Navigation

This Article
Right arrow FREE Full Text (PDF) Freely available
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Lo, A. W.
Right arrow Articles by MacKinlay, A. C.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1988; 1:41-66
© 1988 the Society for Financial Studies

Article

Stock market prices do not follow random walks: evidence from a simple specification test

AW Lo and AC MacKinlay
Department of Finance, Wharton School, University of Pennsylvania, Philadelphia, PA 19104, USA

Abstract

In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 Review of FinanceHome page
G. L. Kaminsky and S. L. Schmukler
Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles
Review of Finance, February 19, 2008; (2008) rfn002v1.
[Abstract] [Full Text] [PDF]

Home page
 Philosophy of the Social SciencesHome page
J. Reiss
Do We Need Mechanisms in the Social Sciences?
Philosophy of the Social Sciences, June 1, 2007; 37(2): 163 - 184.
[Abstract] [PDF]

Home page
 Journal of Emerging Market FinanceHome page
J. Kang, C. J. Lee, and S. Lee
An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations
Journal of Emerging Market Finance, December 1, 2006; 5(3): 235 - 261.
[Abstract] [PDF]

Home page
 Cambridge J EconHome page
S. McGovern
Dealing with the Duhem-Quine thesis in financial economics: can causal holism help?
Camb. J. Econ., January 1, 2006; 30(1): 105 - 122.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
P. de Goeij and W. Marquering
Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach
J. Financial Econometrics, September 1, 2004; 2(4): 531 - 564.
[Abstract] [Full Text] [PDF]

Home page
 Journal of Hospitality & Tourism ResearchHome page
S. Oak and W. P. Andrew
Evidence for Weak-Form Market Efficiency in Hotel Real Estate Markets
Journal of Hospitality & Tourism Research, November 1, 2003; 27(4): 436 - 447.
[Abstract] [PDF]

Home page
 ScienceHome page
B. G. Malkiel
Is the Stock Market Efficient?
Science, March 10, 1989; 243(4896): 1313 - 1318.
[Abstract] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.