Add to ORKGThis study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly, a partial unit root was found to be present in one of the regimes indicating that the stock prices are weak form efficiency, but not all the time
In this article we re-examine efficiency of the South Korea's stock market, extending recent work of...
This study deviates from the conventional use of a linear approach in testing for the efficiency mar...
This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizin...
This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South As...
This study uses a two-regime threshold autoregressive (TAR) model with an autoregressive unit root t...
This paper reexamines the efficient hypothesis using monthly Kuala Lumpur stock price data for the p...
[[abstract]]This paper seeks empirical evidence of nonlinear mean-reversion in relative national sto...
Whether or not stock prices are characterized by a unit root has important implications for policy. ...
This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold ...
This paper investigates the behavior of Kuala Lumpur Stock Exchange Composite Index (KLCI) for the p...
This paper investigates the behavior of Kuala Lumpur Stock Exchange Composite Index (KLCI) for the p...
The objective of this paper is to re-examine the weak-form efficiency of 10 Asian emerging stock mar...
After the introduction of the nonlinear unit root test in 2003, research has provided evidence of no...
Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investig...
This study empirically examines the behaviour of Indonesian stock market under the efficient market ...
In this article we re-examine efficiency of the South Korea's stock market, extending recent work of...
This study deviates from the conventional use of a linear approach in testing for the efficiency mar...
This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizin...
This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South As...
This study uses a two-regime threshold autoregressive (TAR) model with an autoregressive unit root t...
This paper reexamines the efficient hypothesis using monthly Kuala Lumpur stock price data for the p...
[[abstract]]This paper seeks empirical evidence of nonlinear mean-reversion in relative national sto...
Whether or not stock prices are characterized by a unit root has important implications for policy. ...
This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold ...
This paper investigates the behavior of Kuala Lumpur Stock Exchange Composite Index (KLCI) for the p...
This paper investigates the behavior of Kuala Lumpur Stock Exchange Composite Index (KLCI) for the p...
The objective of this paper is to re-examine the weak-form efficiency of 10 Asian emerging stock mar...
After the introduction of the nonlinear unit root test in 2003, research has provided evidence of no...
Using 11 OECD countries data, this study employs a Markov Switching unit root regression to investig...
This study empirically examines the behaviour of Indonesian stock market under the efficient market ...
In this article we re-examine efficiency of the South Korea's stock market, extending recent work of...
This study deviates from the conventional use of a linear approach in testing for the efficiency mar...
This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizin...