The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches
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DOI: 10.1016/j.iref.2017.06.003
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- Goodness C. Aye & Luis A. Gil-Alana & Rangan Gupta & Mark Wohar, 2016. "The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches," Working Papers 201610, University of Pretoria, Department of Economics.
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More about this item
Keywords
Art market; Market efficiency; Variance ratio tests; Random walk; Martingale; Non-parametric;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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