A note on efficiency of Australian and New Zealand stock markets


Hasanov M.

APPLIED ECONOMICS, vol.41, no.2, pp.269-273, 2009 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 41 Issue: 2
  • Publication Date: 2009
  • Doi Number: 10.1080/00036840600994286
  • Title of Journal : APPLIED ECONOMICS
  • Page Numbers: pp.269-273

Abstract

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).