no trading and use only return data for trading days. The third possibility is to
construct a linear model to estimate the returns of the days with no trading. The
first approach is followed in this study for the reasons proposed by Yong (1992).
First, since nontrading is a characteristic of thin markets, it is not appropriate to
ignore the days with no trading. Next, by eliminating the nontrading days, the
analysis in the runs tests may conclude that the market is efficient even through in
reality it might not be. Third, the linear model generating ...
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