On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process : A further note

Lim , Kian Ping and Brooks, Robert D. (2009) On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process : A further note. Applied Economics Letters , 16 (6). pp. 649-652. ISSN 1350-4851

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Official URL: http://dx.doi.org/10.1080/13504850601032040

Abstract

Given the growing empirical evidence that returns predictability follows an evolutionary path, it calls into question not only the usefulness of conventional statistical tests of market efficiency as highlighted by Saadi et al. (2006), but also the adequacy of the efficient markets hypothesis to explain observed market dynamics.

Item Type:Article
Uncontrolled Keywords:Market, Efficiency, Exchange
Subjects:H Social Sciences > HB Economic Theory
Divisions:SCHOOL > Labuan School of International Business and Finance
ID Code:1344
Deposited By:IR Admin
Deposited On:16 Aug 2011 14:36
Last Modified:23 Feb 2015 12:22

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