State space approach in assessing the existene of calendar Effects at international stock markets: its implication on efficient market hypothesis.

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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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Bibliographic Details
Main Author:	Arsad, Zainudin
Format:	Monograph
Published:	Universiti Sains Malaysia 2012
Subjects:	QA1-939 Mathematics
Online Access:	http://eprints.usm.my/36967/

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