Empirical Economics

, Volume 16, Issue 4, pp 465–477 | Cite as

Analysis of Austrian stocks: Testing for stability and randomness

  • R. M. Kunst
  • E. Reschenhofer
  • K. Rodler


This paper is concerned with subjecting two popular assumptions about the behavior of stock market prices to empirical tests: first, the random walk hypothesis developed by Bachelier (1900), Osborne (1959), and Mandelbrot (1963); second, the stable distributions hypothesis by Mandelbrot (1963) and Fama (1965). For this purpose, ten time series from the Vienna Stock Exchange were used. The first hypothesis was tested using both non-parametric and parametric methods. To obtain evidence with regard to the seond hypothesis, a graphical procedure and statistical estimation on the basis of the empirical characteristic function were applied. On analysis of our data, it turned out that, at least for the time period under consideration (1985–1990), severe doubts are cast on the above assumptions.


Time Series Random Walk Characteristic Function Economic Theory Stock Market 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Physica-Verlag 1991

Authors and Affiliations

  • R. M. Kunst
    • 1
  • E. Reschenhofer
    • 2
  • K. Rodler
    • 3
  1. 1.Institut für Höhere StudienWien
  2. 2.University of ViennaDepartment of StatisticsVienna
  3. 3.Department of EconometricsUniversity of TechnologyVienna

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