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Article citations


Borges, M.R. (2008) Efficient Market Hypothesis in European Stock Markets. Technical Report, ISEG—School of Economics and Management, Department of Economics, University of Lisbon, Lisbon.

has been cited by the following article:

  • TITLE: Normality of the Stock Index Futures of China

    AUTHORS: Ning Wang, Yibo Chen, Bo Wang

    KEYWORDS: China’ Stock Market Random-Walk Hypothesis Statistical Test

    JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.1, January 31, 2018

    ABSTRACT: In this paper, we test the null hypothesis that the prices of stock index futures of China follow a random-walk process. Five hypothesis tests are applied to test the random-walk hypothesis (RWH). Each test uses both inter-day and intra-day returns. Compared with inter-day analysis, test results on intra-day data can describe the movements of intra-day markets more effectively, because intra-day analysis eliminates overnight news propagation, thus generating more precise conclusions on the intra-day market for intra-day traders. Three out of the five tests reject the RWH, whereas the other two cannot reject the RWH. Overall, the market is not fully efficient.