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Informational efficiency: ranking markets

โœ Scribed by Frederic Palomino

Book ID
105742833
Publisher
Springer
Year
2001
Tongue
English
Weight
120 KB
Volume
18
Category
Article
ISSN
0938-2259

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Ranking market efficiency for stock mark
Ranking market efficiency for stock markets: A nonlinear perspective
โœ Kian-Ping Lim ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 211 KB

The present paper demonstrates, via a rolling sample approach, that the stylized fact of nonlinear dependence in stock returns is quite localized in time, suggesting that market efficiency evolves over time. Given that the rolling sample framework is able to detect periods of efficiency/inefficiency