Performance of Variance Ratio Tests in Presence of Heteroskedasticity: Application to Stock Returns Data in Pakistan

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Nuzhat Aftab, Muhammad Suhail, Zoubir Layouni, Yousaf Ali Khan4, Ijlal Haider , Bilal Durrani


In this article, we used different variance ratio tests to check the efficiency of the firms registered in the food sector of Pakistan stock market. In addition, we explored the performance of variance ratio tests under heteroskedasticity and autocorrelation. The existing variance ratio tests are applied to the daily and weekly observed and corrected returns. The results reveal that the series are more efficient for corrected daily and weekly series. Furthermore, it is found that weighted variance ratio tests are more consistent under both heteroskedasticity and homoskedasticity.

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