Doyle, John R.; Chen, Catherine Huirong - In: Journal of International Financial Markets, … 22 (2012) 5, pp. 1237-1257
This paper makes the first attempt to present explicit empirical evidence that market inefficiency can be multi-dimensional. Testing the Efficient Market Hypothesis (EMH) over 76 stock indices using 17 best established indicators (e.g. runs test), we show that most indices exhibit some type(s)...