THE EFFICIENCY OF THE INTERNATIONAL MONEY MARKETS: A COMMENT
评论了McInish和Puglisi的观点，认为在收益非正态分布时，自相关检验比游程检验更有效，游程检验的统计功效更低。
McInish and Puglisi reccntly claimed that weak form efficiency should be tested by runs tests and not autocorrelation tests, when returns are not Normal. It is the opinion of this author however, that autocorrelation tests are not invalidated by a non‐Normal distribution. Furthermore, it can be shown that the runs test has lower power than autocorrelation tests and ihat the runs test is not preferable.