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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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: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: ADMIN ADMIN
Date Deposited: 17 Mar 2011 11:32
Last Modified: 19 Oct 2017 14:51
URI: http://eprints.ums.edu.my/id/eprint/1543

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