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- W2783607130 abstract "This paper investigates the efficiency of European equity markets; assuming that information is pooled across all considered markets. The analyses use return innovations obtained after filtering out measurement errors clue to non-synchroneity and bid-ask effects, as well as international market covariance effects. Several hypotheses concerning the dynamics of return relationships among European stock markets are tested. Using daily returns, results confitm that inter-European stock market responses are predominantly contemporaneous, however, significant lagged interactions were also present. The lagged responses though, seem to dissipate within one day. Evidence from weekly returns shows that one week-lagged responses are insignificant save few of the smallest markets. Considering that all European equity markets operate synchronously in real time, lagged responses may be indicative of market inefficiencies on pre-trading cost basis. As usual, the joint hypothesis nature of the tests, do not permit pillpo..." @default.
- W2783607130 created "2018-01-26" @default.
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- W2783607130 date "2008-12-12" @default.
- W2783607130 modified "2023-09-23" @default.
- W2783607130 title "Some Joint Tests of the Efficiency of Europoean Equity Markets" @default.
- W2783607130 hasPublicationYear "2008" @default.
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