In this paper, we attempt to examine the speculative efficiency hypothesis on CO2 emission allowance prices negotiated on Bluenext, by testing the relationship between futures and spot prices from the Fama (1970) framework. This approach is based on the joint hypothesis of no risk premium and...

In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...

This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...