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Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets · Study

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ArticleNonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets

Kian‐Ping Lim2007

Article2007

Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets

Kian‐Ping Lim · Robert Brooks · Melvin J. Hinich

84 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1998Law and Finance 2002Illiquidity and stock returns: cross-section and time-series effects 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2000A New Database on the Structure and Development of the Financial Sector 1999A New Estimate of Transaction Costs 1991Chaos and Nonlinear Dynamics: Application to Financial Markets

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2021Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic 2012The Efficient Market Hypothesis: Empirical Evidence 2009Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets 2009WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS 2012NON‐LINEAR PREDICTABILITY IN G7 STOCK INDEX RETURNS*2013

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2009WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSISarticle · 8 shared references 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statisticspreprint · 8 shared references 2011Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Marketsarticle · 6 shared references 2009The Weak-form Efficiency of Chinese Stock Marketsarticle · 6 shared references 2010Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Marketsarticle · 5 shared references 2007Cross-listing and liquidity in emerging market stocksarticle · 5 shared references

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Year2007

Typearticle

Published2007-08-20

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations84

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.intfin.2007.08.001

openalex_workW2102791579

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