On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note

Authors: Lim, Kian-Ping¹; Brooks, Robert²

Source: Applied Economics Letters, Volume 16, Number 6, April 2009 , pp. 649-652(4)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

Given the growing empirical evidence that returns predictability follows an evolutionary path, it calls into question not only the usefulness of conventional statistical tests of market efficiency as highlighted by Saadi et al. (2006), but also the adequacy of the efficient markets hypothesis to explain observed market dynamics.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/13504850601032040

Affiliations: 1: Labuan School of International Business and Finance, Universiti Malaysia Sabah, Labuan, Malaysia,Faculty of Business and Economics, Department of Econometrics and Business Statistics, Monash University, Australia 2: Faculty of Business and Economics, Department of Econometrics and Business Statistics, Monash University, Australia

Publication date: 2009-04-01

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