one of the issues that in recent decades in the field of information economy is rapidly expanding economy under information and discussion in this major economic problem of asymmetric information is related. as we know in today's world information and trading stock market performance is the core. lateral velocity and symmetry of the main role of information and market efficiency is critical. on...

The variance ratio (VR) test has been widely used as a means of testing for the martingale hypothesis in financial time series. The conventional VR tests are asymptotic tests, which can exhibit deficient small sample properties. In this paper, a joint VR test based on the wild bootstrap is proposed. It is a small sample test which does not rely on asymptotic approximations. An extensive Monte C...

The variance ratio test statistic, which is based on k-period differences of the data, is commonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the variance ratio test statistic when the differencing period k is increasing with the sample size n such that k/n→ δ > 0. We show that the test is inconsistent against a variety...

In this paper we examine the distribution of the variance ratio statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its a...