On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process

Samir Saadi, Devinder Gandhi and Khaled Elmawazini ()

Applied Economics Letters, 2006, vol. 13, issue 5, 301-305

Abstract: Based on the recent developments in market microstructure and applications of nonlinear dynamics and chaos theory to financial time series, the subsequent article questions the validity of traditional methods used to test the efficient market hypothesis. In particular, it emphasizes the invalidity of unit roots tests since they are not predictability tests.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:13:y:2006:i:5:p:301-305

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850500393402

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().