Lim, Kian-Ping; Brooks, Robert D.; Kim, Jae H. - In: International Review of Financial Analysis 17 (2008) 3, pp. 571-591
This paper empirically investigates the effects of the 1997 financial crisis on the efficiency of eight Asian stock markets, applying the rolling bicorrelation test statistics for the three sub-periods of pre-crisis, crisis, and post-crisis. On a country-by-country basis, the results demonstrate...