In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after 1997 but the volatility persistence also increased. That...

This study explores stock market efficiency in India after allowing for potential structural changes induced by reforms processes and/or external shocks. Failing to consider the effect of structural breaks while testing the efficient market hypothesis (EMH) could result in the flawed acceptance...