References
- Campbell , J. Y. , Lo , A. W. and MacKinlay , A. C. 1997 . The Econometrics of Financial Markets , Princeton : Princeton University Press .
- Chow , K. V. and Denning , K. 1993 . A simple multiple variance ratio test . Journal of Econometrics , 58 : 385 – 401 .
- Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
- Fama , E. 1970 . Efficient markets: a review of theory and empirical work . Journal of Finance , 25 : 1181 – 5 .
- Fama , E. 1991 . Efficient capital markets II . Journal of Finance , 46 : 1575 – 617 .
- Global Financial Data (2006) http://www.globfindata.com
- Groenewold , N. and Kang , K. C. 1993 . The semi-strong efficiency of the Australian share market . The Economic Record , 69 : 405 – 10 .
- Groenewold , N. and Ariff , M. 1998 . The effects of deregulation on share market efficiency in the Asia-Pacific . International Economic Journal , 12 : 23 – 47 .
- Huang , B. N. 1995 . Do Asian stock markets follow random walks? Evidence from the variance ratio test . Applied Financial Economics , 5 : 251 – 6 .
- Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 78 .
- Lo , A. and MacKinlay , A. C. 1988 . Stock market prices do not follow random walks: evidence from a simple specification test . Review of Financial Studies , 1 : 41 – 66 .
- Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
- Ronen , T. 1997 . Tests and properties of variance ratios in microstructure studies . Journal of Financial and Quantitative Analysis , 32 : 183 – 204 .