A TEST OF SIMULTANEOUS EFFICIENT AND INEFFI- CIENT MARKETS: AN APPLICATION OF THE MODIFIED R/S MODEL WITH INTRADAY STOCK RETURNS
This paper presents a very interesting result: through applying the modified RIS technique (statistically ro- bust) recently developed by Lo (1991) and using.fifteen-minute interval data, it isfound that both NYSE and NASDAQ stock returns exhibit the phenomenon of long term memory during different t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
1998-09-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150625124952-3NY2C.pdf |