A note on efficiency of Australian and New Zealand stock markets
In this article we re-examine efficiency of the Australia's and New Zealand's stock markets, extending recent work of Narayan (2005). For this purpose we apply the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003). The nonlinear unit root tests reject the null hypothesis of unit root, suggesting that the both stock markets are not weak form efficient, contrary to the findings of Narayan (2005).
Year of publication: |
2009
|
---|---|
Authors: | Hasanov, Mubariz |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 41.2009, 2, p. 269-273
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
The effects of inflation uncertainty on interest rates: a nonlinear approach
Omay, Tolga, (2010)
-
Structural Break, Nonlinearity, and Asymmetry: A re-examination of PPP proposition
Omay, Tolga, (2014)
-
Omay, Tolga, (2012)
- More ...