This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...

This study utilizes the Hinich portmanteau bicorrelation test in conjunction with the windowed testing procedure to examine the cross-temporal universality of non-linear dependencies in the returns series for Asian stock market indices. As a whole, the detected non-linear dependencies do not...

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...

This study utilizes the Hinich portmanteau bicorrelation test in conjunction with the windowed testing procedure to examine the cross-temporal universality of non-linear dependencies in the returns series for Asian stock market indices. As a whole, the detected non-linear dependencies do not...

This paper examines the relationship between foreign shareholding and stock price efficiency for Malaysian public listed firms over the 2002-2008 sample period. We use stock price delay as an inverse measure of informational efficiency, and consider the speed of adjustment to local and global...

This paper first introduces the trispectrum-based time reversibility test to complement its bispectrum counterpart introduced earlier in extant literature. Using these frequency domain tests, we then examine whether the returns series of major stock market indices in 48 countries are time...

The present paper extends the short-horizon return predictability literature to explore the potential determinants of weak-form market efficiency in a sample of 50 countries over the period 1995-2005. Using the proposed rolling bicorrelation test statistic, we are able to compare the extent of...

The present paper utilizes the portmanteau bicorrelation test statistic of Hinich (1996) in a rolling sample approach to capture the evolution of market efficiency over time. The proposed framework also allows us to compare the relative efficiency of stock markets based on those rolling...

The present study proposes the use of nonlinear serial dependencies in the returns series for assessing market responses to new information. Unlike the standard event study methodology, this paper advocates a reserve form that let data analysis to first detect those periods with significant...

Testing the assertion that emerging stock markets are becoming more efficient over time has received increasing attention in the empirical literature in recent years. However, the statistical tests adopted in extant literature are designed to detect linear predictability, and hence disregard the...