Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; … - Volkswirtschaftliche Fakultät, … - 2013
This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit...