An investigation into multivariate variance ratio statistics and their application to stock market predictability
(2017)
Journal Article
Hong, S. Y., Linton, O., & Zhang, H. (2017). An investigation into multivariate variance ratio statistics and their application to stock market predictability. Journal of Financial Econometrics, 15(2), 173-222. https://doi.org/10.1093/jjfinec/nbw014
We propose several multivariate variance ratio statistics for “testing” the weak form Efficient Market Hypothesis and for measuring the direction and magnitude of departures from this hypothesis. We derive the asymptotic distribution of the statistic... Read More about An investigation into multivariate variance ratio statistics and their application to stock market predictability.