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| 005 | 20240502104038.0 | ||
| 008 | 230626b |||||||| |||| 00| 0 eng d | ||
| 022 | _a13504851 | ||
| 040 |
_aMSU _cMSU _erda _bEnglish |
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| 050 | 0 | 0 | _aHB1.A666 APP |
| 100 | 1 |
_aEnninful, Kwesi _eauthor |
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| 245 | 1 | 0 |
_aRobust weak-form efficiency tests in volatile European equity indices _ccreated by Kwesi Enninful and Michael Mark Dowling |
| 264 | 1 |
_aNew York: _bTaylor and Francis, _c2013 |
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| 336 |
_2rdacontent _atext _btxt |
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| 337 |
_2rdamedia _aunmediated _bn |
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| 338 |
_2rdacarrier _avolume _bnc |
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| 440 |
_aApplied economics letters _vVolume 20, number 9 |
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| 520 | 3 | _aRobust 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. | |
| 650 |
_aWeak - form efficiency _vKim wild bootstrap _xVariance ratio _zEurope |
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| 700 | 1 |
_aDowling, Michael Mark _eco-author |
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| 856 | _uhttps://doi.org/10.1080/13504851.2012.754539 | ||
| 942 |
_2lcc _cJA |
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| 999 |
_c162707 _d162707 |
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