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

[img]
Preview
Text
Weak-form_market_efficiency_and_nonlinearity.pdf

Download (41kB) | Preview

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
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 17 Mar 2011 03:32
Last Modified: 19 Oct 2017 06:51
URI: http://eprints.ums.edu.my/id/eprint/1543

Actions (login required)

View Item View Item

Browse Repository
Collection
   Articles
   Book
   Speeches
   Thesis
   UMS News
Search
Quick Search

   Latest Repository

Link to other Malaysia University Institutional Repository

Malaysia University Institutional Repository