Are Asian stock markets efficient? Evidence from new multiple variance ratio tests

Author:

Kim Jae H.,Shamsuddin Abul

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

1. Detecting multiple breaks in financial market volatility dynamics;Andreou;Journal of Applied Econometrics,2002

2. An application of variance ratio test to the Korean securities market;Ayadi;Journal of Banking and Finance,1994

3. Ranks and signs-based multiple variance ratio tests;Belaire-Franch,2004

4. A variance ratio test of the behaviour of some FTSE equity indices using ranks and signs;Belaire-Franch;Review of Quantitative Finance and Accounting,2005

5. Some evidence of random walk behavior of Euro exchange rates using ranks and signs;Belaire-Franch;Journal of Banking and Finance,2005

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