Aye, Goodness Chioma; Chang, Tsang Yao; Chen, Wen-Yi; Gupta, Rangan; Wohar, Mark E.
(Wiley, 2018-07)
This paper examines the efficiency market hypothesis for the art market using a novel nonlinear quantile‐based unit root test while accounting for sharp shifts and smooth breaks in the data. We use quarterly data which ...