We test for reliable evidence of the day-of-the-week effect on both the mean and volatility for the S&P/TSX Canadian return index. Unlike previous studies, we permit several specifications for the error distribution -- GARCH normal, Student's t, generalized error distribution, and double...

The present note sheds light on several pitfalls associated with unit root tests that are overlooked by a growing volume of literature in financial economics. Specifically, several studies have confused unit root tests with the Random Walk hypothesis. Unit root tests are not designed for such a...

In this paper, we show that scaled conditional volatilities obtained by the square root formula applied to i.i.d residuals from a sample of Canadian stock market data for various time horizons and error distributions, typically underestimate the true conditional volatility; consistently have a...

In an attempt to examine efficiency of South Korea's stock market (SKM), Narayan and Smyth (2004) used a battery of unit root tests to investigate the random walk hypothesis and on the basis of the reported evidence for unit root, they concluded that the SKM is efficient. The authors have...