Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices

被引：8
|
作者：
Lim, Kian-Ping [1 ,2 ]
机构：
[1] Univ Malaysia Sabah, Labuan Sch Int Business & Finance, Ft Labuan 87015, Malaysia
[2] Monash Univ, Dept Econometr & Business Stat, Caulfield, Vic 3145, Australia
来源：
APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 05期
关键词：
DYNAMICS; RETURNS; TESTS;
D O I：
10.1080/13504850601032032
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：519 / 522
页数：4
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