TY  - BOOK
AU  - Enninful,Kwesi
AU  - Dowling,Michael Mark
TI  - Robust weak-form efficiency tests in volatile European equity indices
SN  - 13504851
AV  - HB1.A666 APP 
PY  - 2013///
CY  - New York
PB  - Taylor and Francis
KW  - Weak - form efficiency
KW  - Kim wild bootstrap
KW  - Variance ratio
KW  - Europe
N2  - Robust weak-form efficiency tests are conducted to examine market efficiency in two pan-European indices: the large capitalization EuroStoxx 50 and the small capitalization EuroStoxx Small from January 2000 to March 2012. Application of the nonparametric Belaire-Franch and Opong (2005) multiple Variance Ratio (VR) test and Kim's (2006) wild bootstrap technique shows that large capitalization stocks display evidence of negative serial correlation in the recent time period, and these indices do generally have greater weak-form efficiency over longer time windows. This finding contrasts with Hung et al. (2009), particularly in large capitalization equities, and suggests that weak-form efficiency can be influenced by high market volatility
UR  - https://doi.org/10.1080/13504851.2012.754539
ER  -