Weak-form market efficiency and nonlinearity: Evidence from Middle East and African stock indices

Lim , Kian Ping (2009) Weak-form market efficiency and nonlinearity: Evidence from Middle East and African stock indices. Applied Economics Letters , 16 (5). pp. 519-522. ISSN 1350-4851

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Official URL: http://dx.doi.org/10.1080/13504850601032032

Abstract

This study examines the existence of nonlinear serial dependence in five stock markets in the Middle East and Africa. The results from the application of a battery of nonlinearity tests reveal that after removing all short-term linear dependence, the stock returns still contain predictable nonlinearities that contradict the unpredictable criterion of weak-form efficient markets hypothesis.

Item Type:Article
Uncontrolled Keywords:Hypothesis testing, Prediction, Stock market
Subjects:?? HG4551-4598 ??
Divisions:SCHOOL > Labuan School of International Business and Finance
ID Code:1543
Deposited By:IR Admin
Deposited On:17 Mar 2011 11:32
Last Modified:23 Feb 2015 12:37

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