A GARCH model for testing market efficiency

Paresh Narayan () and Ruipeng Liu

Working Papers from Deakin University, Department of Economics

Keywords: Efficient Market Hypothesis; GARCH; Unit Root; Structural Break; Stock Price (search for similar items in EconPapers)
Date: 2015-01-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
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Citations: View citations in EconPapers (5)

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http://www.dx.doi.org/10.1016/j.intfin.2015.12.008

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Journal Article: A GARCH model for testing market efficiency (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:dkn:ecomet:fe_2015_01

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