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http://dx.doi.org/10.7465/jkdi.2014.25.2.385

A sign test for random walk hypothesis based on slopes  

Kim, Tae Yoon (Department of Statiscis, Keimyung University)
Park, Cheolyong (Department of Statiscis, Keimyung University)
Kim, Seul Gee (Department of Statiscis, Keimyung University)
Kim, Chan Jin (Daegu Science High School)
Kim, Hyun (Daegu Science High School)
Yu, Ju Hyung (Daegu Science High School)
Jang, Kyung Min (Daegu Science High School)
Jang, Young Seok (Daegu Science High School)
Publication Information
Journal of the Korean Data and Information Science Society / v.25, no.2, 2014 , pp. 385-392 More about this Journal
Abstract
Random walk hypothesis is a hypothesis that explains theoretically the difficulty in forecasting in financial market. Various tests for the hypothesis have been developed so far but it is known that those tests suffer from low power and size distortion. In this article, a sign test based on slopes are suggested to overcome these difficulties. A simulation study is conducted to compare this test to the often used Dickey and Fuller (1979) test.
Keywords
Random walk; sign test; unit root;
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Times Cited By KSCI : 1  (Citation Analysis)
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