scholarly journals An Investigation of the Weak Form of the Efficient Markets Hypothesis for the Kuwait Stock Exchange

2018 ◽  
Vol 17 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Hesham I. Almujamed ◽  
Suzanne G. M. Fifield ◽  
David M. Power
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Efficient Markets ◽  
Efficient Market ◽  
Emerging Stock Markets ◽  
Kuwait Stock Exchange ◽  
Efficient Markets Hypothesis ◽  
Filter Rules

This article investigates the weak form of the efficient market hypothesis (EMH) for the Kuwait Stock Exchange (KSE). In particular, it tests whether share returns on the KSE exhibit patterns which may be used to predict future share price changes. Ten filter rules are tested on weekly data for 42 firms over the period 1998–2011. The results suggest that the KSE was not weak-form efficient because patterns and trends were present in security prices. In addition, the results are consistent with the substantive literature which has argued that emerging stock markets are informationally inefficient, such as Fifield, Power and Sinclair (2005, 2008) and Xu (2010) and particularly those early studies of Al-Shamali (1989) and Al-Loughani and Moosa (1999) that looked at trading rules for the KSE.

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

scholarly journals Die Johannesburgse Effektebeurs as rasionele kapitaalmark

1981 ◽  
Vol 12 (3) ◽  
pp. 53-59 ◽  
Author(s):  
Leon M. Brummer ◽  
Pieter J. Jacobs
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Small Degree ◽  
Point Of View ◽  
Efficient Market ◽  
Price Changes ◽  
Economic Point ◽  
Johannesburg Stock Exchange ◽  
Measure Of Dependence

The Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that are published in this article is therefore an attempt to make a contribution to the debate regarding the Johannesburg Stock Exchange as an efficient market. By way of serial correlations as well as runs tests an investigation was carried out into the behaviour of the prices of 94 quoted shares for the period 1970 to 1977. The results of the study give rise to the conclusion that the Johannesburg Stock Exchange does not statistically comply with the weak form of the efficient market hypothesis (the random walk hypothesis), as a measure of dependence between successive price changes was found. Seen from an economic point of view it is, however, doubtful whether investors could use this small degree of dependence between price changes to gain higher returns on share investments.Uitsluitsel met betrekking tot die mate waartoe die Johannesburgse Effektebeurs aan die vereistes vir 'n rasionele mark voldoen, is nog nie verkry nie. Die resultate wat in hierdie artikel voorkom is daarom 'n poging om 'n bydrae in die debat rakende die Johannesburgse Effektebeurs as 'n rasionele mark, te maak. 'n Ondersoek na die markpryse van 94 genoteerde aandele vir die periode 1970-77 is deur middel van reekskorrelasiekoeffisiente en die lopietoets uitgevoer. Die resultate van die studie gee aanleiding tot die gevolgtrekking dat die Johannesburgse Effektebeurs nie statisties aan die swak vorm van die rasionele markhipotese (die willekeurige beweging van markpryse) voldoen nie, aangesien 'n mate van afhanklikheid tussen opeenvolgende prysveranderings gevind is. Uit 'n ekonomiese oogpunt gesien is dit egter twyfelagtig of beleggers hierdie afhanklikheid sal kan aanwend om hoer opbrengste op aandelebeleggings te bewerkstellig.

ANOMALI PASAR PADA RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA: FENOMENA THE DAY OF WEEK EFFECT, WEEK FOUR EFFECT, ROGALSKY EFFECT, DAN JANUARY EFFECT

2016 ◽  
Vol 12 (1) ◽  
pp. 51
Author(s):  
Reza Widhar Pahlevi
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Efficient Markets ◽  
Efficient Market ◽  
Market Anomalies ◽  
Day Of The Week

Market anomalies appears on all forms of efficient markets, both weak form, semi-strong and strongform. But plenty of evidence to link the anomaly with semi-strong form efficient market exploited togenerate abnormal returns. Market anomalies that is often discussed is the Day of the Week Effect,January Effect, Week Four Effect and other market anomalies. Empirical research is intended todetermine whether there is the phenomenon of the day of the week effect, week four effect, the effectrogalsky and January effect on LQ 45 stocks in the Indonesia Stock Exchange year period 2014-2015.Based on the analysis of data, shows that there is the phenomenon of the day of week effect on thecompany LQ-45 in Indonesia Stock Exchange 2014-2015 period, there is the phenomenon of weekfour effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period, there are phenomenonRogalski Effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period and there is no Januaryeffect phenomenon in the LQ-45 in Indonesia Stock Exchange 2014-2015 period.Keywords: the day of the week effect, week four effect, rogalsky effect and january effect

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

scholarly journals Entry, exit, ownership structure and the efficient market hypothesis: a case study of the Kuala Lumpur stock exchange

2008 ◽  
Vol 5 (4) ◽  
pp. 315-325
Author(s):  
Vglingam Sivalingam
Keyword(s):  
Stock Exchange ◽  
Theoretical Perspective ◽  
Complete Information ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Barriers To Entry ◽  
Kuala Lumpur ◽  
Efficient Market ◽  
Competitive Model

The objective of this paper is to provide a new theoretical perspective on testing the Efficient Market Hypothesis in the Kuala Lumpur Stock Exchange (KLSE). Previous studies have shown that the KLSE is weak form efficient or at most semi strong form efficient. However, an adequate explanation has not been provided as to why the KLSE is not strong form efficient. The paper suggests that this is because the KLSE does not approximate the neoclassical competitive model in terms of entry, pricing and exit. There are barriers to entry and exit and hence to the free flow of accurate and complete information in the KLSE. The securities offered for sale are also underpriced as there is extensive government intervention to ensure adequate returns to investors. The market is also dominated by large government owned and family owned conglomerates. This together with a segmented market for three classes of investors, that is, the bumiputras, the other Malaysians and foreigners ensures that resources are not allowed to flow to their most value users and hence prices are not competitively set. The paper ends by noting that the KLSE is moving from a government dominated exchange for securities to a market system as a result of recent reforms and policy changes

Weak Form of Efficient Markets Hypothesis: A Spectral Analytic Investigation

1993 ◽  
Vol 18 (2) ◽  
pp. 25-30
Author(s):  
M Ranganatham ◽  
V Subramanian
Keyword(s):  
Spectral Analysis ◽  
Weak Form ◽  
Share Price ◽  
Efficient Markets ◽  
Price Series ◽  
Efficient Markets Hypothesis ◽  
Price Movements ◽  
Indian Stock Market ◽  
Frequency Domain Approach ◽  
Larger Sample

Spectral analysis is a powerful tool in detecting hidden patterns and cycles in a time series. This paper by Ranganatham and Subramanian is an attempt to test empirically the weak form of Efficient Markets Hypothesis (EMH) using the frequency domain approach of spectral analysis. The results of the analysis show that there are some periodic cycles in the price movements which run counter to the assertion of weak form of EMH. For a better understanding of the structure of price movements in the Indian stock market, this study calls for the use of this technique on a larger sample of individual share price series.

scholarly journals Predictability of Stock Returns on the Dhaka Stock Exchange

The Batuk ◽  
2020 ◽  
Vol 6 (2) ◽  
pp. 87-96
Author(s):  
Yub Raj Dhungana
Keyword(s):  
Random Walk ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Daily Basis ◽  
Ratio Test ◽  
Efficient Market ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller

The study examines the predictability of index returns on the Dhaka stock market within the framework of the weak-form efficient market hypothesis using historical daily returns for a period of 1st June, 2014 to 29th May, 2020. The Jarque-Bera statistics test explored the return distribution of Dhaka Stock Exchange is non-normal. The random walk hypothesis (RWH) was tested using autocorrelation test, runs test, unit root tests(Augmented Dickey-Fuller (ADF) and, Phillip-Perron (PP) test) and variance ratio test. The results explored that all tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis. This provides empirical basis to infer that the DSE is inefficient at weak-form and stock return can be predicted. The rejection of the RWH on a daily basis is possibly an indication that the weak-form inefficient characteristic of the DSE is not sensitive to return frequency.

scholarly journals Efficient Market Hypothesis and Forecasting in the Industrial Sector on the Indonesia Stock Exchange

2020 ◽  
Vol 23 (2) ◽  
Author(s):  
Faizul Mubarok ◽  
Mohammad Masykur Fadhli
Keyword(s):  
Stock Exchange ◽  
Moving Average ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Industrial Sector ◽  
Efficient Market ◽  
Industrial Sectors ◽  
Ratio Data ◽  
Stationarity Test ◽  
Almost All

The presence of the stock market has helped to increase economic growth in a country. However, high levels of volatility plus economic uncertainty make investors have to rethink investing in the capital market. This study aims to examine the share of each industrial sector on the stock exchange in Indonesia by testing the Efficient Market Hypothesis (EMH) and forecasting the growth of returns for each industry. The method that will be used in this study includes variance ratio, data stationarity test, Autoregressive Integrated Moving Average (ARIMA), and Autoregressive Conditional Heteroskedasticity (ARCH). The results show that the industrial sectors on the Indonesia Stock Exchange are inefficient in the weak form. In forecasting, almost all indices experience a contraction of growth at the beginning of the forecasting period. The stakeholders are expected to be more active in the market by frequently buying and selling securities because the market is proven inefficient, and the market can be defeated.

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