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Testing for predictability in equity returns for European transition markets

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  • Cajueiro, Daniel O.
  • Tabak, Benjamin M.

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Article provided by Elsevier in its journal Economic Systems.

Volume (Year): 30 (2006)
Issue (Month): 1 (March)
Pages: 56-78

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Handle: RePEc:eee:ecosys:v:30:y:2006:i:1:p:56-78

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Citations

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Cited by:
  1. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(24), pages 5759-5768.
  2. Gu, Rongbao & Shao, Yanmin & Wang, Qingnan, 2013. "Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(2), pages 361-370.
  3. Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(5), pages 527-544, December.
  4. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
  5. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(7), pages 1434-1444.
  6. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
  7. Ahmet Sensoy & Benjamin M. Tabak, 2013. "How Much Random Does European Union Walk? A Time-Varying Long Memory Analysis," Working Paper, Research and Business Development Department, Borsa Istanbul 12, Research and Business Development Department, Borsa Istanbul.
  8. Velimir Å onje & Denis Alajbeg & Zoran Bubas, 2011. "Efficient market hypothesis: is the Croatian stock market as (in)efficient as the U.S. market," Financial Theory and Practice, Institute of Public Finance, Institute of Public Finance, vol. 35(3), pages 301-326.
  9. Amélie Charles & Olivier Darné, 2009. "Variance-Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 23(3), pages 503-527, 07.
  10. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 045-053, June.
  11. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.
  12. Ladislav Krištoufek, 2010. "Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009," Politická ekonomie, University of Economics, Prague, University of Economics, Prague, vol. 2010(4), pages 471-487.
  13. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(7), pages 1631-1637.
  14. Lazăr, Dorina & Todea, Alexandru & Filip, Diana, 2012. "Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets," Economic Systems, Elsevier, vol. 36(3), pages 338-350.

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