This paper examines the presence of the day-of-the-week effect in the Italian stock market index (MIB) sub-sectoral returns. The study, by using GARCH-M (1,1) models, did not find evidence of the day-of-the-week effect in mean equations, while some evidence was present in variance equations. The...

In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that stock...

This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore) using cointegration methodologies in order to explore interdependence. We further estimate the time-varying conditional correlation relationships among these...

This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co-integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This...

This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these markets while the Gregory-Hansen...