Are financial markets efficient? There are multiple tests for answering this question. Forming a hypothesis and testing should be done before looking at the data, i.e. without data snooping. However, the parameters used in the tests of the efficient market hypothesis are often not decided...

The usual design-unbiased estimators in adaptive cluster sampling are easy to compute but are not functions of the minimal sufficient statistic and hence can be improved. Improved unbiased estimators obtained by conditioning on sufficient statistics-not necessarily minimal-are described. First,...

Purpose: The purpose of this paper is to adopt fuzzy interpretive structural modeling (ISM) to develop a precise evaluation framework and provide a theoretical basis for enhancing the understanding of responsible consumption and production (RCP) in academic and industrial fields....

This study examines the international information transmission among three major gold futures markets namely COMEX, MCX, and TOCOM. Two well documented approaches, which are VECM and information share, are utilized to measure the process of price discovery under this trivariate system. The...

In this paper, we provide the first evidence of liquidity timing ability of mutual funds outside US. We propose a new model to study liquidity timing ability of mutual funds. The model matches the higher moment framework required for emerging market study. We find that on the average the mutual...

A non-normal stock return distribution is common in emerging markets. We propose a new liquidity timing model in a higher moment. Overall, fund managers are able to time the market-wide liquidity even in a higher moment environment. A co-skewness risk factor is statistically priced. High...