ABSTRACT
Weak form efficiency has been studied broadly on the stock markets in the world. Tests of the random walk hypothesis have predominated in the literature on weak form efficiency for several decades. Three of the most commonly used implements in tests of the random walk hypothesis are the serial correlation coefficient test, the runs test and the variance ratio test. For example, Fama (1965) studied the daily price change for the stocks on the DJIA by using runs and serial correlation coefficient tests. Pettengill (1989b) applied the runs test to the daily returns. Lo and MacKinlay (1988) created variance ratio test to examine weekly returns. Abraham et al (2002) tested three Gulf markets by applying runs and variance ratio tests to weekly returns. Abrosimova and Linowski (2003) investigated random walk hypothesis in Russian stock indexes using serial correlation and variance ratio tests.
