Testing efficiency in small and large financial markets
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References listed on IDEAS
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More about this item
Keywords
Market efficiency; semimartingale; large financial markets; local martingale measure; asymptotic arbitrage;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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