On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects

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Ortiz, Roberto; Contreras, Mauricio; Villena, Marcelo;
  • Subject: Quantitative Finance - Trading and Market Microstructure

In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency, using the standard r... View more
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