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On the dynamics of international stock market efficiency

  • Khaled, Mohammed
  • Keef, Stephen

Purpose – to measure the temporal change in market efficiency of 17 international stock indices based on small firms.

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File URL: http://researcharchive.vuw.ac.nz/handle/10063/1991
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Paper provided by Victoria University of Wellington, School of Economics and Finance in its series Working Paper Series with number 1991.

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Date of creation: 2011
Date of revision:
Handle: RePEc:vuw:vuwecf:1991
Contact details of provider: 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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  1. 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.
  2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  3. Paresh Kumar Narayan & Seema Narayan, 2007. "Mean reversion in stock prices: new evidence from panel unit root tests," Studies in Economics and Finance, Emerald Group Publishing, vol. 24(3), pages 233-244, September.
  4. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 291-302.
  5. R.K. Kaundal & Sanjeet Sharma, 2010. "Stock Market Integration," Foreign Trade Review, Indian Institute of Foreign Trade, vol. 45(3), pages 3-18, October.
  6. Guneratne Wickremasinghe, 2011. "The Sri Lankan stock market and the macroeconomy: an empirical investigation," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(3), pages 179-195, August.
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