The impact of volatility shifts on market efficiency: the case of four emerging Southeast Asian stock markets
Year of publication: |
2015
|
---|---|
Authors: | Tan, Hui-Boon ; Wong, Mei-Foong ; Elshareif, Elgilani Eltahir |
Published in: |
Global Business and Economics Review. - Inderscience Enterprises Ltd, ISSN 1097-4954. - Vol. 17.2015, 2, p. 203-216
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | Southeast Asia | stock markets | EGARCH-M | ICSS algorithm | volatility shifts | market efficiency | emerging markets | Malaysia | Indonesia | Philippines | Thailand | risk-return tradeoff | global events |
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