메뉴 건너뛰기




Volumn 43, Issue 4, 2005, Pages 79-103

Does the efficient market hypothesis hold? Evidence from six transition economies

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL MARKET; INTERNATIONAL COMPARISON; MARKET CONDITIONS; TRANSITIONAL ECONOMY;

EID: 27944444058     PISSN: 00128775     EISSN: None     Source Type: Journal    
DOI: 10.1080/00128775.2005.11041112     Document Type: Article
Times cited : (32)

References (40)
  • 1
    • 85130271297 scopus 로고    scopus 로고
    • "Point-Process, Long-Range Dependence and Wavelets"
    • ed. A. Aldroubi and M. Unser, Boca Raton, FL: CRC Press
    • Abry, P., and P. Flandrin. 1996. "Point-Process, Long-Range Dependence and Wavelets." In Wavelets in Medicine and Biology, ed. A. Aldroubi and M. Unser, 413-438. Boca Raton, FL: CRC Press.
    • (1996) Wavelets in Medicine and Biology , pp. 413-438
    • Abry, P.1    Flandrin, P.2
  • 4
    • 84963429212 scopus 로고
    • "Families of Multiresolution and Wavelet Spaces with Optimal Properties"
    • Aldroubi, A., and M. Unser 1993. "Families of Multiresolution and Wavelet Spaces with Optimal Properties." Numerical Functional Analysis and Optimization 14, nos. 5-6: 417-446.
    • (1993) Numerical Functional Analysis and Optimization , vol.14 , Issue.5-6 , pp. 417-446
    • Aldroubi, A.1    Unser, M.2
  • 5
    • 0030520821 scopus 로고    scopus 로고
    • "Long-Term Dependence in Stock Returns"
    • Barkoulas, J.T., and C.F. Baum. 1996. "Long-Term Dependence in Stock Returns." Economics Letters 53, no. 3: 253-259.
    • (1996) Economics Letters , vol.53 , Issue.3 , pp. 253-259
    • Barkoulas, J.T.1    Baum, C.F.2
  • 8
    • 0000658462 scopus 로고    scopus 로고
    • "Modeling and Pricing Long-Memory in Stock Market Volatility"
    • Bollerslev, T., and H.O.A. Mikkelsen. 1996. "Modeling and Pricing Long-Memory in Stock Market Volatility." Journal of Econometrics 73, no. 1: 151-184.
    • (1996) Journal of Econometrics , vol.73 , Issue.1 , pp. 151-184
    • Bollerslev, T.1    Mikkelsen, H.O.A.2
  • 10
    • 0001533488 scopus 로고
    • "A Search for Long Memory in International Stock Market Returns"
    • Cheung, Y.W., and K.S. Lai. 1995. "A Search for Long Memory in International Stock Market Returns." Journal of International Money and Finance 14, no. 4: 597-615.
    • (1995) Journal of International Money and Finance , vol.14 , Issue.4 , pp. 597-615
    • Cheung, Y.W.1    Lai, K.S.2
  • 11
    • 0003028907 scopus 로고
    • "Some International Evidence Regarding the Stochastic Behavior of Stock Returns"
    • Crato, N. 1994. "Some International Evidence Regarding the Stochastic Behavior of Stock Returns." Applied Financial Economics 4, no. 1: 33-39.
    • (1994) Applied Financial Economics , vol.4 , Issue.1 , pp. 33-39
    • Crato, N.1
  • 12
    • 0009040449 scopus 로고
    • "Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model"
    • Cutland, N.J.; P.E. Kopp; and W. Willinger. 1995. "Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model." Progress in Probability 36: 327-351.
    • (1995) Progress in Probability , vol.36 , pp. 327-351
    • Cutland, N.J.1    Kopp, P.E.2    Willinger, W.3
  • 14
    • 0002528209 scopus 로고
    • "The Behaviour of Stock Market Prices"
    • Fama, E.F. 1965. "The Behaviour of Stock Market Prices." Journal of Business 38, no. 1: 34-105.
    • (1965) Journal of Business , vol.38 , Issue.1 , pp. 34-105
    • Fama, E.F.1
  • 15
    • 34250842720 scopus 로고
    • "On the Spectrum of Fractional Brownian Motions"
    • Flandrin, P. 1989. "On the Spectrum of Fractional Brownian Motions." IEEE Transactions on Information Theory IT-35, no. 1: 197-199.
    • (1989) IEEE Transactions on Information Theory , vol.IT-35 , Issue.1 , pp. 197-199
    • Flandrin, P.1
  • 16
    • 0026628466 scopus 로고
    • "Wavelet Analysis and Synthesis of Fractional Brownian Motion"
    • Flandrin, P. 1992. "Wavelet Analysis and Synthesis of Fractional Brownian Motion." IEEE Transactions on Information Theory IT-38, no. 2: 910-917.
    • (1992) IEEE Transactions on Information Theory , vol.IT-38 , Issue.2 , pp. 910-917
    • Flandrin, P.1
  • 17
    • 3042831202 scopus 로고    scopus 로고
    • "A Theory of Power-Law Distributions in Financial Market Fluctuations"
    • Gabaix, X.; P. Gopikrishan; V. Plerou; and H.E. Stanley. 2003. "A Theory of Power-Law Distributions in Financial Market Fluctuations." Nature 423: 267-270.
    • (2003) Nature , vol.423 , pp. 267-270
    • Gabaix, X.1    Gopikrishan, P.2    Plerou, V.3    Stanley, H.E.4
  • 18
    • 0042948202 scopus 로고
    • "The Warsaw Stock Exchange: A Test of Market Efficiency"
    • Gordon, B., and L. Rittenberg. 1995. "The Warsaw Stock Exchange: A Test of Market Efficiency." Comparative Economic Studies 37, no. 2: 1-11.
    • (1995) Comparative Economic Studies , vol.37 , Issue.2 , pp. 1-11
    • Gordon, B.1    Rittenberg, L.2
  • 19
    • 0000743923 scopus 로고
    • "Long Memory Relationships and the Aggregation of Dynamic Models"
    • Granger, C.W.J. 1980. "Long Memory Relationships and the Aggregation of Dynamic Models." Journal of Econometrics 14, 2: 227-238.
    • (1980) Journal of Econometrics , vol.14 , Issue.2 , pp. 227-238
    • Granger, C.W.J.1
  • 20
    • 0006258731 scopus 로고    scopus 로고
    • "Rescaled Range Analysis: Approaches for the Financial Practitioner, Part 3"
    • Hampton, J. 1996. "Rescaled Range Analysis: Approaches for the Financial Practitioner, Part 3." NeuroVe$t Journal 4, no. 1: 27-30.
    • (1996) NeuroVe$t Journal , vol.4 , Issue.1 , pp. 27-30
    • Hampton, J.1
  • 21
    • 0036794337 scopus 로고    scopus 로고
    • "Long Memory in Stock Returns: Some International Evidence"
    • Henry, O.T. 2002. "Long Memory in Stock Returns: Some International Evidence." Applied Financial Economics 12, no. 10: 725-729.
    • (2002) Applied Financial Economics , vol.12 , Issue.10 , pp. 725-729
    • Henry, O.T.1
  • 22
    • 0031537357 scopus 로고    scopus 로고
    • "Another Look at Long Memory in Common Stock Returns"
    • Hiemstra, C., and J.D. Jones. 1997. "Another Look at Long Memory in Common Stock Returns." Journal of Empirical Finance 4, no. 4: 373-401.
    • (1997) Journal of Empirical Finance , vol.4 , Issue.4 , pp. 373-401
    • Hiemstra, C.1    Jones, J.D.2
  • 24
    • 12944313878 scopus 로고    scopus 로고
    • "A Nonlinear Approach to Forecasting with Leading Economic Indicators"
    • (available at www.bepress.com/snde/vol7/iss2/art4)
    • Jagric, T. 2003. "A Nonlinear Approach to Forecasting with Leading Economic Indicators." Studies in Nonlinear Dynamics and Econometrics 7, no. 2: 1-19 (available at www.bepress.com/snde/vol7/iss2 /art4).
    • (2003) Studies in Nonlinear Dynamics and Econometrics , vol.7 , Issue.2 , pp. 1-19
    • Jagric, T.1
  • 25
    • 2042454989 scopus 로고    scopus 로고
    • "Method of Analyzing Business Cycles in a Transition Economy: The Case of Slovenia"
    • Jagric, T., and R. Ovin. 2004. "Method of Analyzing Business Cycles in a Transition Economy: The Case of Slovenia." Developing Economies 42, no. 1: 42-62.
    • (2004) Developing Economies , vol.42 , Issue.1 , pp. 42-62
    • Jagric, T.1    Ovin, R.2
  • 26
    • 0000140166 scopus 로고
    • "Long-Term Memory in Stock Market Prices"
    • Lo, A. 1991. "Long-Term Memory in Stock Market Prices." Econometrica 59, no. 5: 1279-1313.
    • (1991) Econometrica , vol.59 , Issue.5 , pp. 1279-1313
    • Lo, A.1
  • 28
    • 0000501589 scopus 로고
    • "Fractional Brownian Motions, Fractional Noises and Applications"
    • Mandelbrot, B.B., and J.W. Van Ness. 1968. "Fractional Brownian Motions, Fractional Noises and Applications." SIAM Review 10: 442-437.
    • (1968) SIAM Review , vol.10 , pp. 437-442
    • Mandelbrot, B.B.1    Van Ness, J.W.2
  • 29
    • 5544253688 scopus 로고
    • "Computer Experiments with Fractional Gaussian Noises: Part 3, Mathematical Appendix"
    • Mandelbrot, B., and J. Wallis. 1969. "Computer Experiments with Fractional Gaussian Noises: Part 3, Mathematical Appendix." Water Resources Research 5, no. 1: 228-267.
    • (1969) Water Resources Research , vol.5 , Issue.1 , pp. 228-267
    • Mandelbrot, B.1    Wallis, J.2
  • 31
    • 27944501305 scopus 로고    scopus 로고
    • "Estimating Fractal Dimension Using Stable Distributions and Exploring Long Memory Through Arfima Models in Athens Stock Exchange"
    • Panas, E. 2001. "Estimating Fractal Dimension Using Stable Distributions and Exploring Long Memory Through Arfima Models in Athens Stock Exchange." Applied Financial Economics 11, no. 3: 395-402.
    • (2001) Applied Financial Economics , vol.11 , Issue.3 , pp. 395-402
    • Panas, E.1
  • 32
    • 27944503139 scopus 로고
    • "Chaotic Determinism in the Stock Returns of the Major Pacific Rim Equity Markets and the U.S."
    • Paper presented at the 1995 Eastern Finance Association Meeting, Hilton Head, SC, April
    • Pandey, V.; T. Kohers; and G. Kohers. 1995. "Chaotic Determinism in the Stock Returns of the Major Pacific Rim Equity Markets and the U.S." Paper presented at the 1995 Eastern Finance Association Meeting, Hilton Head, SC, April.
    • (1995)
    • Pandey, V.1    Kohers, T.2    Kohers, G.3
  • 33
    • 85013350011 scopus 로고
    • "Wide-Area Traffic: The Failure of Poisson Modelling"
    • Paper presented at the Proceedings of SIG-COMM'94, London, August
    • Paxson, V., and S. Floyd. 1994. "Wide-Area Traffic: The Failure of Poisson Modelling." Paper presented at the Proceedings of SIG-COMM'94, London, August.
    • (1994)
    • Paxson, V.1    Floyd, S.2
  • 34
    • 0002044409 scopus 로고
    • "R/S Analysis Using Logarithmic Returns"
    • (November-December)
    • Peters, E.E. 1992. "R/S Analysis Using Logarithmic Returns." Financial Analysts Journal 48, no. 6 (November-December): 81-82.
    • (1992) Financial Analysts Journal , vol.48 , Issue.6 , pp. 81-82
    • Peters, E.E.1
  • 35
  • 36
    • 0000792991 scopus 로고    scopus 로고
    • "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging"
    • Schwartz, E.S. 1997. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging." Journal of Finance 52, no. 3: 923-973.
    • (1997) Journal of Finance , vol.52 , Issue.3 , pp. 923-973
    • Schwartz, E.S.1
  • 37
    • 0000233505 scopus 로고    scopus 로고
    • "Estimators for Long-Range Dependence: An Empirical Study"
    • Taqqu, M.S.; V.T. Teverovsky; and W. Willinger. 1996. "Estimators for Long-Range Dependence: An Empirical Study." Fractals 3, no. 4: 785-798.
    • (1996) Fractals , vol.3 , Issue.4 , pp. 785-798
    • Taqqu, M.S.1    Teverovsky, V.T.2    Willinger, W.3
  • 38
    • 27944499153 scopus 로고    scopus 로고
    • "Long Memory in a Small Stock Market"
    • Tolvi, J. 2003. "Long Memory in a Small Stock Market." Economics Bulletin 7, no. 3: 1-13.
    • (2003) Economics Bulletin , vol.7 , Issue.3 , pp. 1-13
    • Tolvi, J.1
  • 39
    • 0000484483 scopus 로고    scopus 로고
    • "A Bibliographical Guide to Self-Similar Traffic and Performance Modeling for Modern High-Speed Networks"
    • ed. F.P. Kelly, S. Zachary, and I. Ziedins, Oxford: Clarendon Press
    • Willinger, W.; M.S. Taqqu; and A. Erramilli. 1996. "A Bibliographical Guide to Self-Similar Traffic and Performance Modeling for Modern High-Speed Networks." In Stochastic Networks: Theory and Applications, ed. F.P. Kelly, S. Zachary, and I. Ziedins, 339-366. Oxford: Clarendon Press.
    • (1996) Stochastic Networks: Theory and Applications , pp. 339-366
    • Willinger, W.1    Taqqu, M.S.2    Erramilli, A.3
  • 40
    • 27944488523 scopus 로고    scopus 로고
    • "Long Memory in Emerging Market Stock Returns"
    • Wright, J.H. 2001. "Long Memory in Emerging Market Stock Returns." Emerging Markets Quarterly 5, no. 3: 50-55.
    • (2001) Emerging Markets Quarterly , vol.5 , Issue.3 , pp. 50-55
    • Wright, J.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.