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This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...
Persistent link: https://www.econbiz.de/10013106010
This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...
Persistent link: https://www.econbiz.de/10013084511
Pakistan, India, China and Bangladesh for the period of Jan 2000 to Dec 2015 on daily data basis. Historical volatility Granger …
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