Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083499 | International Review of Economics & Finance | 2014 | 8 Pages |
Abstract
Are financial markets efficient? There are multiple tests for answering this question. Forming a hypothesis and testing should be done before looking at the data, i.e. without data snooping. However, the parameters used in the tests of the efficient market hypothesis are often not decided independent of the data. This paper investigates the consequences of not only this form of data snooping but also the issue of looking at multiple tests. The specific tests compared in this paper are the runs test, the autocorrelation test, and the variance ratio test.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Vesarach Aumeboonsuke, Arthur L. Dryver,