Test of the Random Walk Market index result Its for a one week base observation period Number g of base observations aggregated to form variance rat Time period 16 A. Equal-weighted CRSP NYSEAMEX index 620906851226 164 652) (6.13) (4.17) B. Value-weighted CRSP NYSE-AMEX index 62090851226 (231) 740502851226 08 (0.46) alk hypothesis for CRSP equal- and value weighted indexes, for th ariance ratio is 1 and the test statistics have a standard normal distribution(asymptotically). Test statistics marked with asterisks indicate that the corresponding variance ratios are statistically different from 1 at the 5 percent level of significance In section 2. 1 we perform our test on both equal- and value-weighted CRSP indexes for the entire 1216-week period, as well as for 608- week lbperiods, using aggregation values q ranging from 2 to 16 reports corresponding test results for size-sorted portfolios, and Section 2.3 presents results for individual securities 2.1 Results for market indexes Tables 1a and 1b report the variance ratios and the test statistics z*(q) for CRSP NYSE-AMEX market-returns indexes Table 1a presents the results for a one-week base observation p riod, and Table 1 b reports similar results for a four- week base observation period. The values reported in the main rows are the actual variance ratios [ M, (q)+ 1], and the entries enclosed in parentheses are the z*(q) statistics. 5 Panel a of Table la displays the results for the CRSP equal-weighted index. The first row presents the variance ratios and test statistics for the entire 1216- week sample period, and the next two rows give the results for the two 608-week subperiods. The random walk null hypothesis may empirical results(304-week subperiods, larger q valu are reported in Lo and Mackinlay s Since the values of z"(q) are always smaller than the values of z(q) in our empirical resu\N,'d MacKi space we report only the more conservative statistics, Both statistics are reported in Lo an