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| Author: | Ko, K.-S. Lee, S.-B. |
| Title: | A comparative analysis of the daily behaviour of stock returns: Japan, the US and the Asian NICs |
| Journal: | Journal of Business Finance and Accounting
1990 : JAN, VOL. 18:2, p.219-234 |
| Index terms: | STATISTICAL METHODS MARKOV CHAINS STOCK OWNERSHIP RATE OF RETURN JAPAN USA INFORMATION THEORY |
| Language: | eng |
| Abstract: | The daily behaviour of stock returns of six Pacific basin countries (Japan, the USA and the Asian newly industrialized countries) and their relationships are examined. An attempt is made to explain the results in terms of institutional characteristics of the stock markets and their interrelationship. Using two traditional tests and the information-theoretic approach, market efficiency in the weak form is tested. Particularly, Markov chain models are developed and tested in order to determine the exact order of the stock return process. All the results are consistent with institutional characteristics, and market efficiency in the weak form does not hold except for in the USA market. |
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