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Share market efficiency: tests using daily data for Australia and New Zealand
16 references·10 citing·40 second hop
Share market efficiency: tests using daily data for Australia and New Zealand (1997)Share market efficiency: tests using dail…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesPredictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIThe Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control (1989)The Internationalisation of S…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Efficient Capital Markets and Martingales (1989)Efficient Capital Markets and…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesHow Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Improving the genetic-algorithm-optimized wavelet neural network for stock market prediction (2014)Improving the genetic-algorit…Testing the Weak-Form Efficiency of the Palestinian Securities Market (2009)Testing the Weak-Form Efficie…Post earnings announcement drift and the roles of drift-enhanced factors in New Zealand (2009)Post earnings announcement dr…Testing weak‐form efficiency in the Bahrain stock market (2008)Testing weak‐form efficiency …Weak-Form Efficiency: Testimony of Dhaka Stock Exchange (2007)Weak-Form Efficiency: Testimo…TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE (2007)TESTING WEAK-FORM MARKET EFFI…The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics (2006)The Evolving and Relative Eff…Short-Term Autocorrelation in Australian Equities (2003)Short-Term Autocorrelation in…Investor Reactions, Social Implications and Layoff Announcements in the UK: A Comparison between Periods (2002)Investor Reactions, Social Im…THE EFFECTS OF DE-REGULATION ON SHARE-MARKET EFFICIENCY IN THE ASIA-PACIFIC (1998)THE EFFECTS OF DE-REGULATION …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Investor Psychology and Asset Pricing (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited
  • 1989Efficient Capital Markets and Martingales505 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited

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1989
The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control
302 cited

Cited by

  • 2014Improving the genetic-algorithm-optimized wavelet neural network for stock market prediction54 cited
  • 2008Testing weak‐form efficiency in the Bahrain stock market47 cited
  • 1998THE EFFECTS OF DE-REGULATION ON SHARE-MARKET EFFICIENCY IN THE ASIA-PACIFIC47 cited
  • 2003Short-Term Autocorrelation in Australian Equities46 cited
  • 2007Weak-Form Efficiency: Testimony of Dhaka Stock Exchange34 cited
  • 2009Post earnings announcement drift and the roles of drift-enhanced factors in New Zealand31 cited
  • 2007TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE31 cited
  • 2009Testing the Weak-Form Efficiency of the Palestinian Securities Market31 cited
  • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
  • 2002Investor Reactions, Social Implications and Layoff Announcements in the UK: A Comparison between Periods24 cited