Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach
This research focuses on the market efficiency tests using Fractional Integration approach. This approach involves testing the long memory component in the futures basis, which leads to the rejection of the market efficiency if there is an existence of the long memory.Data used consist of the Kuala...
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| Main Authors: | , |
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| Format: | Article |
| Published: |
American Scientific Publishers
2017
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/23037/ http://doi.org/10.1166/asl.2017.9929 |
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