On the dynamics of international stock market efficiency
AbstractPurpose – to measure the temporal change in market efficiency of 17 international stock indices based on small firms.
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Bibliographic InfoPaper provided by Victoria University of Wellington, School of Economics and Finance in its series Working Paper Series with number 1991.
Date of creation: 2011
Date of revision:
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Postal: Alice Fong, Administrator, School of Economics and Finance, Victoria Business School, Victoria University of Wellington, PO Box 600 Wellington, New Zealand
Phone: +64 (4) 463-5353
Fax: +64 (4) 463-5014
Web page: http://www.victoria.ac.nz/sef
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Market efficiency; International; Stock indices; Panel model; Granger causality;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-27 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
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- repec:eme:sefpps:v:27:y:2010:i:1:p:47-66 is not listed on IDEAS
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