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 |
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| Keyword: | Empirical analysis, Hypothesis testing, Market conditions, Market system, Statistical analysis |
| Subjects: | H Social Sciences > HG Finance |
| Department: | SCHOOL > Labuan School of International Business and Finance |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 15 Mar 2011 15:11 |
| Last Modified: | 19 Oct 2017 15:18 |
| URI: | https://eprints.ums.edu.my/id/eprint/1590 |
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