Maheswaran, S.; Balasubramanian, G.; Yoonus, C.A. - In: Journal of Emerging Market Finance 10 (2011) 2, pp. 175-196
A new variance ratio is proposed in this article that utilises the extreme values of asset prices. On the basis of the specification test, it is documented that there is excess volatility in the Indian stock market, whereas this feature is completely absent in the US. It is also found that such...
