search query: @freeterm returns / total: 6
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| Author: | Smith, G. |
| Title: | Martingales in European emerging stock markets: Size, liquidity and market quality |
| Journal: | European Journal of Finance
2009 : APR-JUN, VOL. 15:3-4, p. 249-262 |
| Index terms: | stock markets heteroscedasticity liquidity quality Europe market research stock index options |
| Freeterms: | capitalisation martingale difference sequence variance ratio test wild bootstrap returns |
| Language: | eng |
| Abstract: | Based on the hypothesis that stock index returns form a martingale difference sequence (MDS) is tested for 10 European emerging stock markets,using joint variance ratio tests based on signs and the wild bootstrap, for the period beginning in January 1998 and ending in September 2007,the same tests are carried out with data for the United Kingdom and the United States.The results are discussed in light of stock market characteristics: size, liquidity and the quality of the market are important for MDS returns. |
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