Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

Preprint OPEN
CORNELIS A. LOS;
(2004)
  • Subject: Nonparametrics, Efficiency, Stock Markets
    • jel: jel:O16 | jel:C14 | jel:G15 | jel:G14 | jel:O53

The efficiency of speculative markets, as represented by Fama's 1970 fair game model, is tested on weekly price index data of six Asian stock markets - Hong Kong, Indonesia, Malaysia, Singapore, Taiwan and Thailand - using Sherry's (1992) non-parametric methods. These s... View more
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