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

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Official URL: http://dx.doi.org/10.1016/j.physa.2006.10.013

Abstract

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
ID Code:3770
Deposited By:IR Admin
Deposited On:20 Mar 2012 16:37
Last Modified:18 Feb 2015 12:10

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