Research Article
Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes
Table 3
Rankings of global financial market major indexes on average significant causality.
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The ranking is based on the average percentage of significant causality relations as a result of the Granger causality tests at level. For each of the indexes, we rank the average amount of significant causal relations. The arithmetic average is computed across different series of an index and all the outputs in the 30-day test window. PCAGM refers to the probability and capability of affecting global market of a certain financial index. |