Lim, Kian-Ping; Brooks, Robert D.; Hinich, Melvin J. - In: Journal of International Financial Markets, … 18 (2008) 5, pp. 527-544
The objective of this paper is to re-examine the weak-form efficiency of 10 Asian emerging stock markets. Using a battery of nonlinearity tests, the statistical results reveal that all the returns series still contain predictable nonlinearities even after removing linear serial correlation from...