A TEST OF SIMULTANEOUS EFFICIENT AND INEFFI- CIENT MARKETS: AN APPLICATION OF THE MODIFIED R/S MODEL WITH INTRADAY STOCK RETURNS
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This paper presents a very interesting result: through applying the modified RIS technique (statistically ro- bust) recently developed by Lo (1991) and using.fifteen-minute interval data, it isfound that both NYSE and NASDAQ stock returns exhibit the phenomenon of long term memory during different time intervals. Hence, an abnormal profit is quite possible fo r certain time intervals during a trading day.
Abstract
This paper presents a very interesting result: through applying the modified RIS technique (statistically ro- bust) recently developed by Lo (1991) and using.fifteen-minute interval data, it isfound that both NYSE and NASDAQ stock returns exhibit the phenomenon of long term memory during different time intervals. Hence, an abnormal profit is quite possible fo r certain time intervals during a trading day.