Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test
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References listed on IDEAS
- Ruiz, Esther & Pascual, Lorenzo, 2002. " Bootstrapping Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 271-300, July.
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More about this item
KeywordsMartingale hypothesis; Stock Market Efficiency; Variance Ratio Test; Wild bootstrap;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
- NEP-ETS-2004-10-30 (Econometric Time Series)
- NEP-FIN-2004-10-30 (Finance)
- NEP-RMG-2004-10-30 (Risk Management)
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