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n Investment Analysts Journal - Thin trading on African stock markets : implications for market efficiency testing

Volume 2005, Issue 61
  • ISSN : 1029-3523
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Abstract

Extracted from text ... Thin trading on African stock markets: Implications for market efficiency testing Investment Analysts Journal - No. 61 2005 29 Thin trading on African stock markets: Implications for market efficiency testing 1. INTRODUCTION* The problems that thin trading pose in financial markets research have been widely acknowledged (e.g., Dimson, 1979; Cohen, Hawawini, Maier, Schwartz and Whitcomb , 1983; Atchison, Butler and Simonds, 1987; Lo and MacKinlay, 1990a and b; Bowie, 1994; Miller, Muthuswamy and Whaley, 1994). Lo and MacKinlay (1990b, 181) argue that econometric problems are bound to arise when one ignores the fact that the statistical behaviour of sampled ..

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/content/invest/2005/61/EJC46774
2005-01-01
2016-12-11

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