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- W4295021990 abstract "Stock market efficiency has been one of the most investigated topics of the last century. Knowing the efficiency of a market has major implications for both investors and policymakers, as a perfectly efficient market eliminates any arbitrage opportunity and the possibility of actually beating the market. For this reason, this study aims to examine the weak-form market efficiency of the European energy markets using linear and nonlinear unit root tests for the period covering February 2012 to April 2021. The results indicated that while the Augmented Dickey–Fuller test captured the stationarity in only Austria’s Oil, and Gas index, using nonlinear tests showed stationarity in 17 of the 20 indices tested. Overall, the European Energy Market can be considered inefficient under the weak form of the Efficient Market Hypothesis. Therefore, there is an indication of profitable arbitrage opportunities among energy stocks. Signs of stationarity also suggest that shocks to energy stocks will have temporary effects. Energy markets of Austria, Finland, France, Greece, Italy, Netherlands, Russia, Spain, Sweden, and the United Kingdom, for this reason, could benefit from policy changes to support increased information flow to achieve more transparency and utilize better trading technologies." @default.
- W4295021990 created "2022-09-09" @default.
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- W4295021990 date "2022-09-07" @default.
- W4295021990 modified "2023-10-03" @default.
- W4295021990 title "Examining the non-linear stochastic behavior of the European energy market: evidence from nonlinear unit root tests" @default.
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- W4295021990 doi "https://doi.org/10.1080/15567249.2022.2118900" @default.
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