سال انتشار: ۱۳۸۴

محل انتشار: سومین کنفرانس بین المللی مدیریت

تعداد صفحات: ۹

نویسنده(ها):

Cheah Eng Tuck – Assistant professor of Finance Nottingham university school university of Nottingham Malaysia Campus Wisma MISC 2 Jalan Conlay 50450 Kuala Lumpur Malaysia
Lee Yoong hon – Assistant professor of Finance Nottingham university school university of Nottingham Malaysia Campus Wisma MISC 2 Jalan Conlay 50450 Kuala Lumpur Malaysia

چکیده:

The efficient market hypothesis (EHM) in the weak-form reguires that there is no serial correlation between the returns at different times and successive price changes. On the contrary, stock returns displaying statistically significant autocorrelation between obserbations widely separated in time, or long memory, would weaken the properties derived from martingale models for pricing derivatives and other financial assets.