The Random Walk Hypothesis in the Spanish Stock Market: 1980–1992
用1980年1月至1992年12月的西班牙股票日度数据检验随机游走假说，发现日收益率存在强相关和非线性依赖，且价格变化在短期内可能具有可预测性。
In this paper we test the random walk hypothesis in the Spanish stock market using disaggregated daily data base spanning the period January 1980 to December 1992. We find that daily returns are strongly correlated and nonlinear dependent. Furthermore, using the variance‐ratio test, that is robust to heteroscedasticity, the results suggest that the rejection of the random walk hypothesis cannot be attributed completely to the effects of time varying volatilities. In this sense, the price changes can be potentially predictable over, at least, short time spans.