A TEST OF SIMULTANEOUS EFFICIENT AND INEFFI- CIENT MARKETS: AN APPLICATION OF THE MODIFIED R/S MODEL WITH INTRADAY STOCK RETURNS

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...

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Bibliographic Details
Main Authors: Bwo-Nung Huang, Dwight Means, Jr, Chin Wei Yang, Robert Van Ness
Format: Article
Language:English
Published: People & Global Business Association (P&GBA) 1998-09-01
Series:Global Business and Finance Review
Subjects:
simultanneous efficient and inefficient market
modified r/s model
intraday stock returns
Online Access:http://www.gbfrjournal.org/pds/journal/thesis/20150625124952-3NY2C.pdf
Description
Summary: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 time intervals. Hence, an abnormal profit is quite possible fo r certain time intervals during a trading day.
ISSN:1088-6931
2384-1648

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