Skyline Business Journal, 2013, Vol.9(1), p.9(5)
This paper examines the random walk behavior of daily and weekly returns of the MSM 30 index, the leading index of Muscat Securities Market during 1st July 2010 to 30th June, 2013. MSM-30 Index is tested for weak form efficiency using unit root tests like Augmented Dickey-Fuller test, Phillips-Peron (PP) test, Kwiatkowski, Phillips, Schmidt and Shin (KPSS), and Variance ratio test using homoscedastic and heteroscedastic test estimates. Results of all the unit root tests are consistent and support the presence of unit root. Variance ratio test supports that Muscat stock market index do not follow random walk and autocorrelation is a cause of non-random nature not heteroscedasticity. Since variance ratio test is more powerful than unit root tests performed in the study, author goes by the results of variance ratio test. Keywords: Random walk, Unit root, Variance ratios, market efficiency
Heteroscedasticity – Analysis ; Stock Markets – Analysis ; Stock Markets – Economic Aspects ; Stock Markets – Forecasts and Trends ; Stock Price Indexes – Forecasts and Trends ; Stock Price Indexes – Analysis ; Stock Price Indexes – Economic Aspects
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