Liu, Ruipeng; Narayan, Paresh Kumar - Deakin University, Faculty of Business and Law, School …
In this paper, we test the efficient market hypothesis for 100 US firms listed on the New York Stock Exchange. To test the unit root null hypothesis, we develop a generalized autoregressive heteroskedasticity (GARCH) model that not only caters for the GARCH errors but also allows for two...