scholarly journals Testing for Weak-Form Market Efficiency in the Botswana Stock Market

2019 ◽  
Vol 7 (9) ◽  
pp. 134-140
Author(s):  
Mphoeng Mphoeng
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Process ◽  
Efficient Market ◽  
Foreign Companies ◽  
Domestic Companies

The theory of the Efficient Market Hypothesis (EMH) has been debated extensively. In this study the runs test was employed on the Botswana Stock Exchange daily Domestic Companies and Foreign Companies indices to test whether the Botswana stock market follows the random walk process and subsequently determine weak-form market efficiency. The results of the runs test showed that the indices do not follow the random walk process. As a result the Botswana stock market is determined to be weak-form market inefficient and rejects the efficient market hypothesis accordingly.

Do the Stock Market Indices Follow a Random Walk?

2021 ◽  
pp. 389-410
Author(s):  
Cristina Vasco ◽  
Pedro Pardal ◽  
Rui Teixeira Dias
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
South Korea ◽  
Market Efficiency ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market ◽  
Efficiency Hypothesis

This chapter aims to test the hypothesis of an efficient market, in its weak form, in the stock markets of Brazil, China, South Korea, USA, Spain, Italy, in the period from December 2, 2020 to May 12, 2020. The results show that the market efficiency hypothesis is rejected in all markets. In corroboration the DFA exponents show long memories, which put in question the market efficiency, in its weak form, suggesting that the stock markets analyzed show some predictability. In conclusion, investors should avoid investing in stock markets, at least while this pandemic lasts, and invest in less risky markets in order to mitigate risk and improve the efficiency of their portfolios.

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 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 THE EFFICIENT MARKET HYPOTHESIS: A CRITICAL REVIEW OF LITERATURE AND METHODOLOGY

Ekonomika ◽  
2014 ◽  
Vol 93 (2) ◽  
pp. 7-23 ◽  
Author(s):  
Augustas Degutis ◽  
Lina Novickytė
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Capital Markets ◽  
Intrinsic Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Current Status ◽  
Efficient Market ◽  
Baltic Countries ◽  
The Baltic

The development of the capital markets is changing the relevance and empirical validity of theefficient market hypothesis. The dynamism of capital markets determines the need for efficiency research. The authors analyse the development and the current status of the efficient market hypothesis with an emphasis on the Baltic stock market. Investors often fail to earn an excess profit, but yet stock market anomalies are observed and market prices often deviate from their intrinsic value. The article presents an analysis of the concept of efficient market. Also, the market efficiency evolution is reviewed and its current status is analysed. This paper presents also an examination of stock market efficiency in the Baltic countries. Finally, the research methods are reviewed and the methodology of testing the weak-form efficiency in a developing market is suggested. 

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
Vol 2 (1) ◽  
pp. 1-13
Author(s):  
Chukwu Agwu Ejem ◽  
Udochukwu Godfrey Ogbonna ◽  
Godwin Chigozie Okpara
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. JEL Classification: C1, C4, E6, G1

scholarly journals Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange

2021 ◽  
Vol 43 ◽  
pp. 206-224
Author(s):  
Jacek Karasiński ◽  
◽  
Patryk Zduńczak ◽  
◽  
◽  
...  
Keyword(s):  
Random Walk ◽  
Market Efficiency ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Common Belief ◽  
Market Inefficiency ◽  
Warsaw Stock Exchange

Aim/purpose–The aim of this paper is to verify whether extremely high values of mar-ket value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other.Design/methodology/approach–Following Bachelier’s strict random walk model, we quantified a weak-form informational market efficiency with the use of the percentage of normality tests in stock returns run (Expanded Shapiro–Wilk, D’Agostino-Pearson and Jarque–Bera), which indicate that the analyzed distribution is normal (a null hypothesis cannot be rejected). The empirical study was based on the comparison of the market value ratios (P/E and P/BV) and the informational efficiency measure at the level of particular companies, listed on the Main Market and NewConnect of the Warsaw Stock Exchange, and grouped into eight sectors. In order to do this, we analyzed scatterplots, descriptive statistics, Pearson’s and Spearman’s rank correlation coefficients. The da-taset covered 214 companies (based on the assumptions made) in the period from 2016, December 31 to 2020, March 23.Findings–Results obtained indicated that, in most cases, the extremely high values of market value ratios did not co-occur with market inefficiency. Hence, the outstandingly high market value ratios do not have to be the symptoms of market inefficiency. Research implications/limitations–Following a common belief shared in the industry, but still not examined yet, this study examines the possible co-occurrence of extremely high market valuation and market inefficiency, but does not exploit it fully. The authors encourage other researchers, especially, to apply other market value ratios and to come up with their own ideas for market efficiency proxies. What is more, this study has been conducted on a relatively small market, thus the conclusions drawn from the study on the WSE should be tested on other, more developed markets.Originality/value/contribution–According to the authors’ knowledge, this study is one of the first trying to examine if the extremely high market value ratios are the symp-toms of the informational inefficiency of the market.Keywords: efficient market hypothesis, weak-form efficiency, market value ratios, stock markets, random walk. JEL Classification:G10, G12, G14.

scholarly journals Efficient Market Hypotheses of Nepalese Stock Market

Pravaha ◽  
2020 ◽  
Vol 26 (1) ◽  
pp. 187-198
Author(s):  
Shanker Dhodary
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Insider Trading ◽  
Research Work ◽  
Weak Form ◽  
Efficient Market ◽  
Parametric Test ◽  
Auto Correlation ◽  
Closing Price ◽  
Weak Form Efficiency

The purpose of this paper is to examine the random walk hypothesis (RWH) by testing the weak-form efficiency in the Nepalese capital market. Descriptive, correlation and causal comparative research design has been used for analyzing the variables and different phenomenon. This research has been prepared only with the help of secondary data. Closing price of company has been collected and analyzed for the period 2015/16-2019/20. Thus researcher tried to analyze the market efficiency with the help of five years data (daily closing price).There are altogether around 233 companies listed in NEPSE. So to make this research feasible and simple researcher has selected only 10 companies from the NEPSE by using purposive sampling technique. In course of selecting company researcher has tried to incorporate only financial sectors as commercial banks, finance companies, insurance, and microfinance companies but development bank has not been taken as sample due to same nature of commercial bank. Researcher examined the weak form efficiency of the Nepal stock exchange (NEPSE) using auto correlation test (parametric test) and run test (non-parametric test) for the period of 2015/16-2019/20. Mainly this research work tested the efficient market hypothesis of Nepalese stock market with the help of daily closing price of 10 Sample Company of different sectors. The market is inefficient in the weak form implies that the NEPSE does not follow a random walk. This means that the NEPSE provides an opportunity for out- performance by skillful managers and investment specialists. Auto correlation exists in price of stock evident that there is high level of dependency of price of stock with the previous ones. It will be easy for speculator and trader to exploit the market and gain handsome profit from the market. All investor are not assumed to be rational in inefficient market, most of the people say investor are investing on the basis of market rumor. Market may be inefficient due the asymmetric of information and insider trading.

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.

A Random walk down the Dhaka Stock Exchange lane

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Md. Kamrul Bari ◽  
Dr. Melita Mehjabeen ◽  
Dr. A. K. Enamul Haque
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Long Memory ◽  
Stock Exchange ◽  
Reliable Estimate ◽  
Memory Process ◽  
Long Memory Process ◽  
Study Results ◽  
Adf Test

Market efficiency has always been a matter of keen interest to the researchers of finance. Since the advancement of this concept, researchers are consistently investigating the market efficiency of different financial markets. Bangladesh, being one of the emerging economies, has also attracted the attention of many researchers. The researchers have investigated the realities regarding the market efficiency of both the stock exchanges of the country. Most of their investigations reveal that the Dhaka Stock Exchange (DSE) and the Chittagong Stock Exchange (CSE) are inefficient. This research, however, did not stop at revisiting market efficiency alone. Whether the return series follows a long-memory process, has also been tested. Besides, non-parametric tests have also been conducted to confirm the results of the parametric tests and vice versa. It generated a more reliable estimate of market efficiency for the period under study. Results of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model confirm that the return series does not follow a long memory process, and any shock in the system will eventually vanish. The findings of other tests (the run test, the Augmented Dickey-Fuller (ADF) test, the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test, and the Kolmogorov-Smirnov (K-S) test) suggest that the return series of the DSE are time-series stationary, non-normal, and do not follow a random walk. Given these results, we must echo the prior researchers to conclude that the stock market of Bangladesh is not efficient for the period of 2015 to 2020. These findings add new knowledge to the existing knowledge pool about market efficiency and long memory of the stock market of Bangladesh.

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