EMPIRICAL EVIDENCE ON STOCK PRICE BEHAVIOR: TEST FOR WEAK FORM OF MARKET EFFICIENCY (original) (raw)
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An Empirical Study on Weak-Form of Market Efficiency of Selected Asian Stock Markets
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Weak-form market efficiency of an emerging Market: Evidence from Dhaka Stock Market of Bangladesh. 1
2000
The vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the developing and less developed countries markets; and no study on this area has been performed on the Dhaka Stock Exchange (DSE). The study seeks evidence supporting the existence of at least weak-form efficiency of the market. The sample includes the daily price indices of all the listed securities on the DSE for the period of 1988 to 1997. The hypothesis of the study is whether the Dhaka Stock Market is weakform efficient. The results of both non-parametric (Kolmogrov-Smirnov normality test and run test) test and parametric test (Auto-correlation test, Auto-regression, ARIMA model) provide evidence that the share return series do not follow random walk model and the significant autocorrelation coefficient at different lags reject the null hypothesis of weak-form efficiency. The results are consistent in different sub-sample observations, without outlier and for individual securities. The issues are important to security analysts, investors and security exchange regulatory bodies in their policy making decisions to improve the market condition. This study deserves a continuous research on this area to reach an ultimate conclusion about the level of efficiency of less developed market.
Weak-form market efficiency of an emerging Market: Evidence from Dhaka Stock Market of Bangladesh
ENBS Conference held on Oslo, 2000
The vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the developing and less developed countries markets; and no study on this area has been performed on the Dhaka Stock Exchange (DSE). The study seeks evidence supporting the existence of at least weak-form efficiency of the market. The sample includes the daily price indices of all the listed securities on the DSE for the period of 1988 to 1997. The hypothesis of the study is whether the Dhaka Stock Market is weakform efficient. The results of both non-parametric (Kolmogrov -Smirnov normality test and run test) test and parametric test ( Auto-correlation test, Auto-regression, ARIMA model ) provide evidence that the share return series do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency. The results are consistent in different sub-sample observations, without outlier and for individual securities. The issues are important to security analysts, investors and security exchange regulatory bodies in their policy making decisions to improve the market condition. This study deserves a continuous research on this area to reach an ultimate conclusion about the level of efficiency of less developed market.
Testing Weak form Market Efficiency: Empirical Evidence from Selected Asian Stock Markets
Asian Economic and Financial Review
This empirical study examines stock market efficiency of selected fifteen countries from the Asian region using weekly stock returns from the year 2001 to 2017. In order to test the market efficiency, the following statistical methods were conducted on the realized returns: Auto Correlation, Q Statistics, Correlation Matrix, Unit Root Test, and Run Test. It is revealed that the weekly return is not normally distributed as the historical returns from the considering markets are negatively skewed. We came up to a conclusion that weekly returns do not follow the random walk as it rejects the null hypothesis. Therefore, it may be possible for the investors to gain an arbitrage profit by investing in any of the markets in consideration. Contribution/ Originality: This study is one of very few studies which have investigated the weak form market efficiency in selected capital markets from the Asian region. This paper also contributes in the existing literature of finance by testing the existence of random walk theory in the stated context.
A Weak-Form Efficiency Analysis of Asian Stock Markets
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The concept of efficient market hypothesis has remained the focus of the researchers of Finance ever since it has been proposed by Fama in 1965. Many researchers from time to time have analyzed the capital market efficiency of different countries of the world. The present study has analyzed and compared the efficiency of the Asian capital markets. Adjusted Daily closing prices of the most important Asian countries Japan, China, Singapaore, Hongkong, and India for the period ranging between 01/01/2008 to 31/12/2017 have been taken into consideration in order to test the weak form of market efficiency. Descriptive Statistics, ADF test, AutoCorrelation test, BOX-PIERCE TEST (Q), Jarque-Bera Statistic and Runs test have been used in order to reach the results. The results of tests of normality viz, Skewness, Kurtosis, Jarque Bera Statistics reject the null hypothesis that monthly index returns follow a normal distribution for the entire analyzed indexes. The tests for stationarity viz. ...
The weak form market efficiency investigation of American, European and Asian stock markets
Chinese Business Review, 2010
This paper investigates the empirical validity of the Weak Form Efficient Market Hypothesis for American, European and Asian stock markets. Random Walk Hypothesis is used to prove weak form efficiency in American, European and Asian stock indices. ADF and PP Unit Root Tests have been used to test unit root in time series of daily data of American, European and Asian stock indices. Results show that sample of stock markets are weak-form efficient in terms of the Random Walk Hypothesis.
Journal of Economics, Finance and Administrative Science, 2022
PurposeDespite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.Design/methodology/approachFor analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.FindingsThe empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.Research limitations/implicationsThe findings from this study provide several avenues for future research. One of the r...
Universal Journal of Accounting and Finance, 2015
Efficient Market Hypothesis (EMH) has attracted a considerable number of studies in empirical finance, particularly in determining the market efficiency of an emerging financial market that is Dhaka Stock Exchange (DSE). Conflicting and inconclusive outcomes have been generated by various existing studies in EMH. In addition, efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the issue. This paper recommend a paradigm of non-parametric tests of market efficiency for an emerging stock market, that is DSE, consisting of non-parametric test which is autocorrelation function tests (ACF), to establish a more definitive conclusion about EMH in emerging financial markets. The result of this research using Dhaka Stock Exchange General Index (DGEN) demonstrates that a positive autocorrelation on Dhaka Stock Exchange returns exists particularly in the period of 2001-2013 and DSE doesn't hold weak form of efficiency and not following the Random walk model. The inefficiency of the Dhaka Stock Exchange follows on from the violation of the necessary conditions for an efficient market with a developed financial system and also implies financial markets and institutional imperfections.
The Stock Market Efficiency of Emerging Markets: Evidence from Asian Region
Asian Social Science, 2014
This research paper investigates the efficiency of stock market and volatility behavior of eight Asian Emerging market indices. This study used the secondary daily time series data for the period of ten years from 01-01-2004 to 31-12-2013. The Econometric models (GARCH, Autocorrelation and Runs Test) where used to test the volatility and market efficiency of Asian emerging stock markets. Besides, the long run relationship was studied. The Hypotheses about the importance of different channels are tested .This paper provides significant evidences of market efficiency and randomness distribution in these emerging Asian markets. The findings of this study will be useful for investing Community, Government and Policy Regulators in these sample countries.