Examining the first stages of market performance: a test for evolving market efficiency

Authors
Zalewska-Mitura, A Hall, SG
Citation
A. Zalewska-mitura et Sg. Hall, Examining the first stages of market performance: a test for evolving market efficiency, ECON LETT, 64(1), 1999, pp. 1-12
Citations number
3
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
64
Issue
1
Year of publication
1999
Pages
1 - 12
Database
ISI
SICI code
0165-1765(199907)64:1<1:ETFSOM>2.0.ZU;2-G
Abstract
A new test of whether markets evolve through detecting changes in weak-form efficiency is proposed. The test is evaluated through Monte Carlo simulati ons. Empirical examples are provided for both developed and emerging market s. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: C5; G1.