Author(s)

Dilip Kumar

Indian Institute of Management Kashipur, Kashipur, India.

By means of Monte Carlo experiments using the weighted bootstrap, we evaluate the size and power properties in small samples of Chow and Denning’s [1] multiple variance ratio test and the automatic variance ratio test of Choi [2]. Our results indicate that the weighted bootstrap tests exhibit desirable size properties and substantially higher power than corresponding conventional tests.

Monte Carlo Experiment, Weighted Bootstrap, Variance Ratio, Return Predictability

Kumar, D. (2016) Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency. Theoretical Economics Letters, 6, 426-431. doi: 10.4236/tel.2016.63048.