| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963442 | Journal of International Financial Markets, Institutions and Money | 2012 | 21 Pages |
Abstract
⺠We analyse 76 closing price indices from all major markets around the world. ⺠We use 17 different anomaly indicators (statistical tests). ⺠We find most indices exhibit some type(s) of anomaly. ⺠EMH indicators differ from each other in terms of statistical power and/or the type of anomaly detected. ⺠Market anomalies, and the indicators, can be classified, using Principal Components Analysis, into several independent categories.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
John R. Doyle, Catherine Huirong Chen,