State space approach in assessing the existene of calendar Effects at international stock markets: its implication on efficient market hypothesis.
This research investigates the existence and persistence of a few types of calendar effects in ten International stock markets covering the period from 1995 to 2010. Most previous studies have used the standard OLS and ARLMA-GARCH-type models, restricting the coefficients representing the mean retur...
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| Format: | Monograph |
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Universiti Sains Malaysia
2012
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