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Regularities in the data between major equity markets : evidence from Granger causality tests

Smith, Kenneth L. - In: Applied financial economics 3 (1993) 1, pp. 55-60

Persistent link: https://www.econbiz.de/10001145266

Estimation of value-at-risk under jump dynamics and asymmetric information

Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106

Persistent link: https://www.econbiz.de/10003213436

Examining market efficiency for large and small-capitalization of TOPIX and FTSE stock indices

Hung, Jui-cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 7/9, pp. 735-744

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...

Persistent link: https://www.econbiz.de/10003842695