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

Based on the recent developments in market microstructure and applications of nonlinear dynamics and chaos theory to financial time series, the subsequent article questions the validity of traditional methods used to test the efficient market hypothesis. In particular, it emphasizes the invalidity of unit roots tests since they are not predictability tests.

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Year of publication:	2006
Authors:	Saadi, Samir ; Gandhi, Devinder ; Elmawazini, Khaled
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 13.2006, 5, p. 301-305
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005629437