This paper tests the finite sample properties of the Kuan and Lee's (KL) test to study market efficiency by mean of extensive Monte Carlo experiments using different data generating processes. We apply the KL test with and without wild bootstrap on the six global stock indices covering major US,...

This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the vector autoregressive multivariate exponential generalised autoregressive conditional heteroskedasticity (VAR-MVEGARCH) model. We also examine the return and volatility...

In this paper, we compare the performance of Inclan and Tiao's (IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generating processes with conditional and unconditional...