This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

This paper empirically investigates the effects of the 1997 financial crisis on the efficiency of
eight Asian stock markets, applying the rolling bicorrelation test statistics for the three sub …

This article proposes a test for the martingale difference hypothesis (MDH) using
dependence measures related to the characteristic function. The MDH typically has been …

This article re-examines the evidence of return predictability for three major US stock indices
using two recently developed data-driven tests, namely the automatic portmanteau Box …

This study examines return predictability of major foreign exchange rates by testing for
martingale difference hypothesis (MDH) using daily and weekly nominal exchange rates …

The objective of this paper is to re-examine the weak-form efficiency of 10 Asian emerging
stock markets. Using a battery of nonlinearity tests, the statistical results reveal that all the …

This paper examines the predictability of corporate bond returns using the transaction-based
index data for the period from October 1, 2002 to December 31, 2010. We find evidence of …

In this paper, we consider testing the martingale difference hypothesis for high-dimensional
time series. Our test is built on the sum of squares of the element-wise max-norm of the …

摘要本文采用一种新的统计方法来检验中国股票市场的有效性, 结果表明沪市和深市都尚未达到
弱式有效, 尽管它们的有效程度随着时间的推移有所改善. 我们还发现, C 股市场比I …