scholarly journals exuber: Recursive Right-Tailed Unit Root Testing with R

2021 ◽  
Vol 2020 (383) ◽  
Author(s):  
Kostas Vasilopoulos ◽  
◽  
Efthymios Pavlidis ◽  
Enrique Martínez-García ◽  
◽  
...  
Keyword(s):  
Unit Root ◽  
Unit Root Testing

scholarly journals THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

2020 ◽  
Vol 8 (4) ◽  
pp. 409-423
Author(s):  
Sümeyra GAZEL
Keyword(s):  
Developing Countries ◽  
Unit Root ◽  
Structural Break ◽  
Unit Root Test ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Developed Countries ◽  
Exchange Traded Funds ◽  
Unit Root Testing ◽  
Daily Data

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

scholarly journals exuber: Recursive Right-Tailed Unit Root Testing with R

2020 ◽  
Vol 2020 (383) ◽  
Author(s):  
Kostas Vasilopoulos ◽  
◽  
Efthymios Pavlidis ◽  
Enrique Martínez-García ◽  
◽  
...  
Keyword(s):  
Unit Root ◽  
Unit Root Testing
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