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| Author: | Charemza, W.W. Shields, K. Zalewska, A. |
| Title: | Predictability of stock markets with disequilibrium trading |
| Journal: | European Journal of Finance
2004 : OCT, VOL. 10:5, p. 329-344 |
| Index terms: | Stock Exchanges |
| Freeterms: | Censored returns East European financial markets Efficient markets |
| Language: | eng |
| Abstract: | This article examines the predictability of hypothetical market with freely negotiated prices on which exists a censoring of one-period returns which are in excess of an arbitrary level ('floor' and 'ceiling'). It is found out that the expected value of returns (adjusted for drift) conditional on last period information regarding the censoring are equal to zero (and therefore the market is not predictable in mean) if there is no intertemporal spillover on the market. Corrected student-t statistics are proposed based on statistical predictability tests. |
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