Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests
Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed in local and US dollar currencies) for five stock markets in the Middle East and North Africa during 1995-2009. Results indicated that the big and liquid stock markets of Israel and Turkey are ranked a...
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| Format: | Article |
| Language: | English |
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Universidad Autónoma de Nuevo León, Facultad de Economía
2014-05-01
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| Series: | Ensayos Revista de Economía |
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| Online Access: | http://ensayos.uanl.mx/index.php/ensayos/article/view/33 |