Do the Stock Market Indices Follow a Random Walk?
Vasco, C., Pardal, P., Dias, R. T.
,
(2021)
,
"Do the Stock Market Indices Follow a Random Walk?"
,
Miguel Teixeira & Inês Lisboa
,
Handbook of Research on Financial Management During Economic Downturn and Recovery
,
IGI Global
.
CEFAGE Author(s)
Rui Manuel Teixeira Santos Dias
Abstract
This chapter aims to test the hypothesis of an efficient market, in its weak form, in the stock markets of Brazil, China, South Korea, USA, Spain, Italy, in the period from December 2, 2020 to May 12, 2020. The results show that the market efficiency hypothesis is rejected in all markets. In corroboration the DFA exponents show long memories, which put in question the market efficiency, in its weak form, sug- gesting that the stock markets analyzed show some predictability. In conclusion, investors should avoid investing in stock markets, at least while this pandemic lasts, and invest in less risky markets in order to mitigate risk and improve the efficiency of their portfolios.