A note on efficiency of Australian and New Zealand stock markets

Hasanov M.

APPLIED ECONOMICS, cilt.41, sa.2, ss.269-273, 2009 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 41 Sayı: 2
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1080/00036840600994286
  • Dergi Adı: APPLIED ECONOMICS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.269-273
  • Hacettepe Üniversitesi Adresli: Hayır

Özet

In this article we re-examine efficiency of the Australia's and New Zealand's stock markets, extending recent work of Narayan (2005). For this purpose we apply the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003). The nonlinear unit root tests reject the null hypothesis of unit root, suggesting that the both stock markets are not weak form efficient, contrary to the findings of Narayan (2005).