Advanced search
Publication Cover
Applied Economics Letters Volume 13, 2006 - Issue 5
Submit an article Journal homepage
105
Views
14
CrossRef citations to date
0
Altmetric
Original Articles

On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process

Samir Saadi School of Management, 136 Jean-Jacques Lussier Street, Ottawa, ON, K1N 6N5 CanadaCorrespondence[email protected]
,
Devinder Gandhi School of Management, 136 Jean-Jacques Lussier Street, Ottawa, ON, K1N 6N5 Canada
&
Khaled Elmawazini Kazakhstan Institute of Management, Economics and Strategic Research (KIMEP), 4 Abai Ave., Office 226, 0510010, Republic of Kazakhstan
Pages 301-305 | Published online: 19 Aug 2006

Citations (14)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

Kian-Ping Lim. (2009) Efficiency tests of the UK financial futures markets and the impact of electronic trading systems: a note on relative market efficiency. Applied Economics Letters 16:11, pages 1129-1132.
Read now
Kian-Ping Lim & RobertD. Brooks. (2009) On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note. Applied Economics Letters 16:6, pages 649-652.
Read now
Kian-Ping Lim. (2009) Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices. Applied Economics Letters 16:5, pages 519-522.
Read now
Kian-Ping Lim & Robert Brooks. (2009) Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests. Applied Financial Economics 19:2, pages 147-155.
Read now

Articles from other publishers (10)

R. Jared DeLisle, Dean Diavatopoulos, Andy Fodor & Haimanot Kassa. (2022) Variation in option implied volatility spread and future stock returns. The Quarterly Review of Economics and Finance 83, pages 152-160.
Crossref
George Varghese & Vinodh Madhavan. (2021) Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation. Journal of Emerging Market Finance 20:3, pages 290-307.
Crossref
Konstandinos Chourmouziadis, Dimitra K. Chourmouziadou & Prodromos D. Chatzoglou. (2020) Embedding Four Medium-Term Technical Indicators to an Intelligent Stock Trading Fuzzy System for Predicting: A Portfolio Management Approach. Computational Economics 57:4, pages 1183-1216.
Crossref
Vasileios KallinterakisNomana MunirMirjana Radovic-Markovic. (2010) Herd Behaviour, Illiquidity and Extreme Market States. Journal of Emerging Market Finance 9:3, pages 305-324.
Crossref
Kian-Ping LimMuzafar Shah HabibullahMelvin J. Hinich. (2009) The Weak-form Efficiency of Chinese Stock Markets. Journal of Emerging Market Finance 8:2, pages 133-163.
Crossref
Andreas RöthigAndreas Röthig. 2009. Microeconomic Risk Management and Macroeconomic Stability. Microeconomic Risk Management and Macroeconomic Stability 87 119 .
Andreas Röthig & Carl Chiarella. (2007) Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models. Journal of Futures Markets 27:8, pages 719-737.
Crossref
Kian-Ping Lim. (2007) Ranking market efficiency for stock markets: A nonlinear perspective. Physica A: Statistical Mechanics and its Applications 376, pages 445-454.
Crossref
Kian-Ping Lim & Robert Darren Brooks. (2006) The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics. SSRN Electronic Journal.
Crossref
Vasileios Kallinterakis & Maria Lodetti. (2009) Herding, Nonlinearities and Thin Trading: Evidence from Montenegro. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.