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In general the theory of random walks raises challenging questions for anyone who has more than a passing interest in understanding the be-havior of stock prices. Unfortunately, however, most discussions of the theory have appeared in technical...

In tbis article we test the random walk bypotbesis for weekly stock market returns by comparing vari-ance estimators derived. from data sampled at dif-ferent frequencies. Tbe random walk model is strongly rejectedfor tbe entire sample period (1962-1985)...