This study examines the empirical validity of the weak-form Efficient Market Hypothesis (EMH) for the foreign exchange market of Sri Lanka, using a battery of (univariate and panel) unit root tests, including those that allow for structural breaks. Monthly exchange rates for four major...

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...

The purpose of this study is to test the efficiency level of the Athens Stock Exchange (ASE). It performs efficiency tests for the years 2000–2002. The results of these tests enable us to argue that over the two years of the study, ASE was not an efficient market as it suffered from...

We find persistence in mutual fund performance both over consecutive time periods and in a multi-period setting. There is significant spread, persisting for at least two or three years, between the portfolio with funds from the top past return quintile and those from the bottom past return...

This study attempts to model the pricing decision of a Tunisian FX dealer for the Dollar (USD/TND) and the Euro (EUR/TND) based on the daily exchange rates. Using GMM estimation, we find evidence to support for the information and inventory effects for the USD/TND, but not for the EUR/TND. For...

This article examines the relation between price and open interest in the Greek stock index futures market. The focus is on GARCH effects and the long–run information role of open interest. The results show that current open interest helps in explaining GARCH effects, while a negative...

This article examines the weak–form of the efficient market hypothesis (EMH) for the Saudi Stock Market. Specifically, it considers whether patterns are present in share returns such that investors can out–perform the market by trading on the basis of historic information. Two...

This study seeks evidence on whether the return series on Bangladesh's Dhaka Stock Exchange (DSE) is independent and follows the random walk model. The study focuses on assessing if the DSE deviates from idealised efficiency. The sample primarily includes all the listed companies on the DSE...

We implement an agent-based financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour....

This study features the impact of takeovers on the event firms traded on the Stock Exchange of Thailand (SET). The study investigates a long-window abnormal return, or during a period of twelve months before and after the announcements using several metrics. The traditional models and the latest...