Khanthavit, Anya; Boonyaprapatsara, Natachai; Saechung, … - In: Applied Economics Journal 19 (2012) 1, pp. 46-67
The study tests the evolving market efficiency of Thailand’s stock market using the time-varying STAR model with a p 1 lag. The model is flexible in that it can describe gradual or rapid changes in the efficiency level. The p lags are general enough to incorporate information of up to p days...