Testing Efficiency Performance of an Underdeveloped Stock Market
AbstractMarket inefficiency has influence on resource allocation, as price signals tend systematically understate or overstate the effects of information transmitted to the trading parties in the market. In this paper a number of statistical tests employed to assess the weak-form efficiency of Khartoum Stock Exchange (KSE) market. The finding of the paper indicates the inefficiency hypothesis cannot be rejected
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15020.
Date of creation: 25 Jul 2007
Date of revision:
efficiency; unit root; volatility;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
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8905, Michigan State - Econometrics and Economic Theory.
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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
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"Time-Varying World Market Integration,"
NBER Working Papers
4843, National Bureau of Economic Research, Inc.
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