Asset market efficiency fosters rational decisions on allocating resources, both individually and socially, and thus helps determine individuals' wealth accumulation and nations' economic growth. To date, however, there are little systematic data available for, and even less analysis of, US...

Applying the Lo and MacKinlay variance ratio test on the weekly returns from the Taiwan stock market from 1990 to mid 2006, I obtained results strongly indicative of the fact that not only does the Taiwan composite stock index move in a random walk fashion, returns for the individual stocks do...

Applying the Lo and MacKinlay variance ratio test on the weekly returns from the Taiwan stock market from 1990 to mid 2006, I obtained results strongly indicative of the fact that not only does the Taiwan composite stock index move in a random walk fashion, returns for the individual stocks do...

This paper compares one-step-ahead out-of-sample predictions on Malaysian Ringgit-US Dollar exchange rate using the generalized regression neural network for a range of forecasting horizons from 1991M3 to 2008M8. We find that the monetary fundamentals are significant in explaining the dynamics...

This paper revisits the random walk hypothesis for ten Pacific Basin foreign exchange markets. The results suggest that the null hypothesis of random walk is rejected based on the Lo-MacKinlay variance ratio tests, under conditions of both homoskedasticity and heteroskedasticity for the examined...