This paper investigates whether the South-Eastern European (SEE) stock markets of Bulgaria, Croatia, Romania, Slovenia and Turkey are integrated with their developed counterparts in Germany, the UK and the USA. Using static cointegration analysis, we find that the SEE markets are cointegrated...

The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations’ (ASEAN) stock markets for the period January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of...

This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore) using cointegration methodologies in order to explore interdependence. We further estimate the time-varying conditional correlation relationships among these...

The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by...

In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999–2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that...