Author: Hasanov, Mubariz

Source: Applied Economics, Volume 41, Number 2, January 2009 , pp. 269-273(5)

Publisher: Routledge, part of the Taylor & Francis Group

Abstract:

In this article we re-examine efficiency of the Australia's and New Zealand's stock markets, extending recent work of Narayan (2005). For this purpose we apply the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003). The nonlinear unit root tests reject the null hypothesis of unit root, suggesting that the both stock markets are not weak form efficient, contrary to the findings of Narayan (2005).

Document Type: Research article

DOI: http://dx.doi.org/10.1080/00036840600994286

Affiliations: 1: Department of Economics, Hacettepe University, Ankara, Turkey

Publication date: 2009-01-01

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