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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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: Empirical analysis, Hypothesis testing, Market conditions, Market system, Statistical analysis
Subjects: H Social Sciences > HG Finance
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 15 Mar 2011 07:11
Last Modified: 19 Oct 2017 07:18
URI: http://eprints.ums.edu.my/id/eprint/1590

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