Share market efficiency: tests using daily data for Australia and New Zealand
暂无分享,去创建一个
[1] Craig S. Hakkio,et al. Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets , 1989 .
[2] Testing for unit roots with very high frequency spot exchange rate data , 1993 .
[3] Peter S. Sephton,et al. Tests of exchange market efficiency: fragile evidence from cointegration tests , 1991 .
[4] E. Morgan. The Stock Exchange , 1962 .
[5] Mark P. Taylor,et al. The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control , 1989 .
[6] Kenneth Kasa,et al. Common stochastic trends in international stock markets , 1992 .
[7] Stephen F. LeRoy,et al. Efficient Capital Markets and Martingales , 1989 .
[8] Gerald P. Dwyer,et al. Cointegration and market efficiency , 1992 .
[9] A. Saunders,et al. Inflation and Stock Market Returns: Some Australian Evidence , 1981 .
[10] E. Fama,et al. Efficient Capital Markets : II , 2007 .
[11] I. Sharpe. New Information and Australian Equity Returns: A Multivariate Analysis , 1983 .
[12] C. Granger,et al. Co-integration and error correction: representation, estimation and testing , 1987 .
[13] A. Lo,et al. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test , 1987 .
[14] P. Phillips. Testing for a Unit Root in Time Series Regression , 1988 .
[15] W. Forbes. THE INTEGRATION OF EUROPEAN STOCK MARKETS: THE CASE OF THE BANKS , 1993 .
[16] E. Fama,et al. Permanent and Temporary Components of Stock Prices , 1988, Journal of Political Economy.
[17] E. Ziegel. Introduction to the Theory and Practice of Econometrics , 1989 .
[18] John H. Cochrane,et al. How Big Is the Random Walk in GNP? , 1988, Journal of Political Economy.
[19] Mark P. Taylor,et al. Foreign exchange market efficiency and cointegration: Some evidence from the recent float , 1989 .
[20] W. Hogan,et al. Capital market efficiency and the relationship between equity returns, interest rates, and monetary aggregates in Australia , 1982 .
[21] D. Peel,et al. Some evidence on the interdependence of national stock markets and the gains from international portfolio diversification , 1993 .
[22] Common stochastic trends in European stock markets , 1993 .
[23] K. C. Kang,et al. The Semi-strong Efficiency of the Australian Share Market , 1993 .
[24] S. Johansen. STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .
[25] Yasushi Hamao,et al. Predictable Stock Returns in the United States and Japan: a Study of Long-Term Capital Market Integration , 1989 .
[26] Heejoon Kang,et al. International equality of stock market returns , 1993 .
[27] Cointegration-based tests of daily foreign exchange market efficiency , 1990 .
[28] W. Fuller,et al. LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .
[29] T. Mills. Assessing the predictability of UK stock market returns using statistics based on multiperiod returns , 1991 .
[30] Ming-Shiun Pan,et al. An Empirical Analysis of Stock Prices in Major Asian Markets and the United States , 1992 .
[31] J. Poterba,et al. Mean Reversion in Stock Prices: Evidence and Implications , 1987 .