Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach

2021 ◽  
pp. 101446
Author(s):  
Walid Mensi ◽  
Yun-Jung Lee ◽  
Xuan Vinh Vo ◽  
Seong-Min Yoon
Keyword(s):  
Long Memory ◽  
Stock Markets ◽  
Weak Form ◽  
Oil Price ◽  
Price Variability ◽  
Weak Form Efficiency

scholarly journals Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

scholarly journals Analiza efektywności informacyjnej w formie słabej na rynkach „soft commodities” z wykorzystaniem wybranych testów statystycznych

2017 ◽  
Vol 17(32) (3) ◽  
pp. 81-92
Author(s):  
Anna Górska ◽  
Monika Krawiec
Keyword(s):  
Stock Markets ◽  
Orange Juice ◽  
Statistical Tests ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Commodity Markets ◽  
Agricultural Products ◽  
Efficient Market ◽  
Spot Prices ◽  
Weak Form Efficiency

The Efficient Market Hypothesis received much attention in the late 1970s. Those early studies focused on examining the efficiency of stock markets, however since that time the researchers’ interest has shifted to commodity markets. The studies usually focus on the markets of oil and of agricultural products, mainly grains. The efficiency of soft commodities market is also examined but not to the same extent. Majority of investigations focus on single products of this category. Thus the aim of our paper is to extend the research and to analyze the weak-form efficiency of six soft commodities: coffee, cocoa, sugar, cotton, frozen concentrated orange juice and rubber. Data under consideration covers daily spot prices of the commodities in the period 2007-2016. Having calculated their logarithmic returns we perform the following statistical tests: runs test, autocorrelation test, Box-Pierce and Box –Ljung tests. As the results obtained are not homogenous, this opens a door to further investigations with the use of different methodology.

scholarly journals Are African Stock Markets Inefficient or Adaptive? Empirical Literature

2020 ◽  
Author(s):  
Adefemi A. Obalade ◽  
Paul-Francois Muzindutsi
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Linear Models ◽  
Empirical Studies ◽  
Weak Form ◽  
Empirical Literature ◽  
Recent Theory ◽  
Non Linear ◽  
Best Fit ◽  
Weak Form Efficiency

This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

The Weak-form Efficiency of Chinese Stock Markets

2009 ◽  
Vol 8 (2) ◽  
pp. 133-163 ◽  
Author(s):  
Kian-Ping Lim ◽  
Muzafar Shah Habibullah ◽  
Melvin J. Hinich
Keyword(s):  
Stock Markets ◽  
Weak Form ◽  
Chinese Stock Markets ◽  
Weak Form Efficiency

Testing Weak-Form Efficiency and Long-Term Causality of the Emerging Capital Markets in Romania, India, Poland, and Hungary

2019 ◽  
pp. 177-197
Keyword(s):  
Empirical Analysis ◽  
Capital Markets ◽  
Stock Markets ◽  
Weak Form ◽  
Empirical Results ◽  
Emerging Stock Markets ◽  
Emerging Capital Markets ◽  
The Empirical Analysis ◽  
Weak Form Efficiency

The main purpose of this chapter is testing weak-form efficiency and long-term causality of the emerging capital markets in Romania, India, Poland and Hungary. According to Spulbar and Birau, the empirical analysis is focused on BET index (Romania), WIG 20 index (Poland), BSE index (India) and BUX index (Hungary) from January 2000 to July 2018. The empirical results revealed that there is no long-term causality between the selected emerging stock markets analyzed during the period of January 2000 to July 2018. The book chapter provides additional empirical evidence of emerging capital markets behavior since the empirical analysis revealed that ADF t statistics rejected the null hypotheses of a unit root, so the selected financial data series are stationary in all selected cases. Moreover, the empirical results have revealed that the efficient market hypothesis has not been validated and there is no long-term causality between the selected emerging stock markets during the sample period from January 2000 to July 2018.

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