Ranking market efficiency for stock markets: A nonlinear perspective

Lim, Kian Ping (2007) Ranking market efficiency for stock markets: A nonlinear perspective. Physica A: Statistical Mechanics and its Applications, 376 (1-2). pp. 445-454. ISSN 0378-4371


Download (202kB) | Preview

Download (51kB) | Preview


The present paper demonstrates, via a rolling sample approach, that the stylized fact of nonlinear dependence in stock returns is quite localized in time, suggesting that market efficiency evolves over time. Given that the rolling sample framework is able to detect periods of efficiency/inefficiency, the relative efficiency of stock markets can easily be assessed by comparing the total time windows these markets exhibit significant nonlinear serial dependence. It was found that the US market is the most efficient while Argentine is at the end of the ranking.

Item Type: Article
Uncontrolled Keywords: Bicorrelation, Market efficiency, Nonlinear dependence
Subjects: ?? HG4551-4598 ??
?? HF5469.7-5481 ??
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 20 Mar 2012 08:37
Last Modified: 17 Oct 2017 03:36
URI: http://eprints.ums.edu.my/id/eprint/3770

Actions (login required)

View Item View Item