Running the Numbers on a Frontier Market

Of noise and stealth traders


In Chapter 5, the discussion was concluded by creating three different portfolios for the Russian equity market according to individual securities’ transparency: the top-, medium-, and bottom-transparency portfolio. For the purpose of measuring relative market efficiency, this chapter will use these three portfolios and apply to them the variance ratio test discussed in chapter 6.


Random Walk Foreign Investor Market Segmentation Variance Ratio Test Sophisticated Investor 
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© Kluwer Academic Publishers 1999

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