Tests for weak form market efficiency in stock prices: Monte Carlo evidence
| dc.contributor.author | Khaled, Mohammed S | |
| dc.contributor.author | Keef, Stephen P | |
| dc.date.accessioned | 2011-12-20T01:43:17Z | |
| dc.date.accessioned | 2022-07-05T02:10:52Z | |
| dc.date.available | 2011-12-20T01:43:17Z | |
| dc.date.available | 2022-07-05T02:10:52Z | |
| dc.date.copyright | 2011 | |
| dc.date.issued | 2011 | |
| dc.description.abstract | Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish between two different types of predictability, called "structural predictability" and "error predictability". Standard unit root tests pick up structural predictability. VR tests pick up both structural and error predictability. | en_NZ |
| dc.format | en_NZ | |
| dc.identifier.uri | https://ir.wgtn.ac.nz/handle/123456789/18606 | |
| dc.language.iso | en_NZ | |
| dc.publisher | Te Herenga Waka—Victoria University of Wellington | en_NZ |
| dc.relation.ispartofseries | SEF Working Paper Series | en_NZ |
| dc.rights.rightsholder | www.vuw.ac.nz/sef | en_NZ |
| dc.subject | Unit Root | en_NZ |
| dc.subject | Weak Form Efficiency | en_NZ |
| dc.subject | Random Walk | en_NZ |
| dc.subject | Autocorrelation | en_NZ |
| dc.subject | Variance Ratio | en_NZ |
| dc.title | Tests for weak form market efficiency in stock prices: Monte Carlo evidence | en_NZ |
| dc.type | Text | en_NZ |
| vuwschema.contributor.unit | School of Economics and Finance | en_NZ |
| vuwschema.subject.anzsrcfor | 149999 Economics not elsewhere classified | en_NZ |
| vuwschema.subject.anzsrcforV2 | 389999 Other economics not elsewhere classified | en_NZ |
| vuwschema.subject.marsden | 149999 Economics not elsewhere classified | en_NZ |
| vuwschema.type.vuw | Working or Occasional Paper | en_NZ |
