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On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process

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Author Info
Samir Saadi
Devinder Gandhi
Khaled Elmawazini

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Abstract

Based on the recent developments in market microstructure and applications of nonlinear dynamics and chaos theory to financial time series, the subsequent article questions the validity of traditional methods used to test the efficient market hypothesis. In particular, it emphasizes the invalidity of unit roots tests since they are not predictability tests.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 5 (April)
Pages: 301-305
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Handle: RePEc:taf:apeclt:v:13:y:2006:i:5:p:301-305

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  1. Mayfield, E Scott & Mizrach, Bruce, 1992. "On Determining the Dimension of Real-Time Stock-Price Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 367-74, July.
  2. Chaudhuri, K. & Wu, Y., 2001. "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets," Papers 2000-3, Sydney - Department of Economics.
    Other versions:
  3. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
  4. repec:att:wimass:199520 is not listed on IDEAS
  5. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 71-90, July. [Downloadable!] (restricted)
  6. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
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  7. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
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