A note on efficiency of Australian and New Zealand stock markets
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).
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
Document Type: Research Article
Affiliations: Department of Economics, Hacettepe University, Ankara, Turkey
Publication date: 2009-01-01