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...

The aim of this article is to investigate the Efficient Market Hypothesis (EMH) for the Association of Southeast Asian Nations' (ASEAN) stock markets for the period January 2000 to April 2011. We test whether these markets are efficient individually and collectively using a number of statistical...