scholarly journals The market efficiency of the Tanzania stock market

2016 ◽  
Vol 11 (3) ◽  
pp. 75-86 ◽  
Author(s):  
Josephine Njuguna
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Test Unit ◽  
Variance Ratio Test

The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5) ◽  
pp. 29 ◽  
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5(J)) ◽  
pp. 29-42
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

scholarly journals Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 81 ◽  
Author(s):  
Dzung Phan Tran Trung ◽  
Hung Pham Quang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Ho Chi Minh City ◽  
Stock Exchanges ◽  
Ratio Test ◽  
Time Varying ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Relationship

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

MARKET EFFICIENCY IN G-20 COUNTRIES: THE PARADOX OF FINANCIAL CRISIS

2013 ◽  
Vol 08 (01) ◽  
pp. 1350003 ◽  
Author(s):  
JOÃO PAULO VIEITO ◽  
K. V. BHANU MURTHY ◽  
VANITA TRIPATHI
Keyword(s):  
Financial Crisis ◽  
Market Efficiency ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Crisis Period ◽  
The World ◽  
Variance Ratio Test

This paper is amongst the first to investigate weak-form efficiency of the most developed (G-20) countries in the world. It also measures the impact of the 2007 financial crisis on the stock markets of these countries, in terms of their efficiency. Serial correlation test, ADF unit root test, Lo and MacKinlay (1988) variance ratio test, Chow and Denning (1993) RWH test and Wrights' 2000 ranks and signs based multiple variance ratio test were utilized to carry out this analysis. The entire study period was divided into a pre-crisis period (January 1, 2005 – August 8, 2007) and a during crisis period (August 9, 2007 – Deccember 31, 2011). Strong contemporaneous effects emerged across all international markets (except Saudi Arabia) as a consequence of the 2007 crisis. This may be due to increased international intra-day activity across the world markets. It was concluded that the "Samuelson dictum," which states that "while individual stocks are efficient, the market index is inefficient," seems to hold good on a global level by analogy. This is evident on the premise that, on the whole the 2007 crisis reduced return and increased volatility, even though individual markets became more efficient. The most robust result from the analysis is that most of the individual markets are weak-form efficient. Following the crisis of 2007, the methodology used indicates that on the whole, the market efficiency of individual stock markets improved.Hence, during the pre-crisis, volatility was low but heteroskedastic. However, during the period of the crisis, volatility was high but homoscedastic. The heightened volatility and low return that are a consequence of the crisis coupled with improved market efficiency, due to market vigil and control, ensure that abnormal returns and persistent arbitrage possibilities are wiped out. This appears to be a paradox of a crisis.

scholarly journals Weak Form Efficiency of Pakistan Stock Market using Non-Parametric Approaches

2011 ◽  
Vol 2 (6) ◽  
pp. 249-257
Author(s):  
Muhammad Irfan ◽  
Maria Irfan .
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Lilliefors Test ◽  
Anderson Darling ◽  
Non Parametric ◽  
Weak Form Efficiency

This paper studies the performance of Karachi Stock Exchange (KSE) of Pakistan via nonparametric approaches. The study includes the weekly open and closing prices of KSE- 100 indexes for the period of 1st January 1999 to 31st August 2009. Several non-parametric approaches including KolmogorovSmirnov test (Lilliefors test), Ryan-Joiner test (Shapiro-Wilk), Anderson-Darling test, Phillips Perron (PP) unit root test and Runs test are used to test the conviction of the KSE stock market. All non-parametric tests graphically and numerically inform us that both return series do not follow the assumption of normality and randomness, which means rejecting the hypothesis of weak form of efficiency. Generally, results from the observed analysis strongly recommend that the Karachi Stock Market of Pakistan is not efficient.

scholarly journals Study the random walking of the ISX60 market index For the Iraq Stock Exchange

2019 ◽  
Vol 14 (46) ◽  
pp. 109-118
Author(s):  
Sadik Jafar Al-Attabi ◽  
Siham Jabbar Mezher ◽  
Siham Jabbar Mezher ◽  
Salim Sallal AL-Hisnawi
Keyword(s):  
Market Efficiency ◽  
Serial Correlation ◽  
Stock Exchange ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walking ◽  
Correlation Test ◽  
Market Index ◽  
Rescaled Range ◽  
Variance Ratio Test

This paper aimed to test random walking through the ISX60 market index for the ability to judge market efficiency at a weak level. The study used Serial Correlation Test, the Runs Test, the Variance Ratio Test, as well as the Rescaled Range Test.The population of the study represents of Iraq Stock Exchange. The study concluded accepting the hypothesis of the study that the returns of the ISX60 market index in the Iraqi market for securities does not follow the random walking in general and as a result the Iraq market for securities is inefficient within the weak level of efficiency and the study recommended need a supervisors work in the Iraqi market for securities to activate all means a which will work to communication with information to all investors and thus raise the efficiency of the Iraqi market for securities in order to the avoid of achieving unusual returns by some investors.

scholarly journals Weak form market efficiency: A case study of Asia-Pacific markets

2020 ◽  
Vol 14 ◽  
Keyword(s):  
Market Efficiency ◽  
Unit Root ◽  
Unit Root Test ◽  
Weak Form ◽  
Asia Pacific ◽  
Ratio Test ◽  
Developed Markets ◽  
Watson Test ◽  
Weak Form Efficiency

This study aims to test the weak form market efficiency for five developed markets, nine emerging markets and three frontier markets in the Asia-Pacific region. The tools applied in the test of this form of market efficiency are serial correlation test, runs test and unit root test. The analysis is performed by using logarithm return for the period of 2008 to 2018. For all markets in our research, the results strongly reject the weak form efficiency when the unit root tests are carried out, while the results from the Durbin-Watson test are in complete contrast. However, in the runs test and variance ratio test, the results provide mixed evidences of weak form efficiency of the markets

Non-linear approach to Random Walk Test in selected African countries

2018 ◽  
Vol 14 (3) ◽  
pp. 362-376 ◽  
Author(s):  
Emmanuel Joel Aikins Abakah ◽  
Paul Alagidede ◽  
Lord Mensah ◽  
Kwaku Ohene-Asare
Keyword(s):  
South Africa ◽  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Unit Root Test ◽  
Weak Form ◽  
African Countries ◽  
Content Type ◽  
Non Linear

Purpose The purpose of this paper is to re-examine the weak form efficiency of five African stock markets (South Africa, Nigeria, Egypt, Ghana and Mauritius) using various tests to assess the impact of non-linearity effect and thin trading which are prevalent in African markets on market efficiency. Design/methodology/approach The weekly returns of S&P/IFC return indices for five African countries over the period 2000-2013 were obtained from DataStream and analyzed. The study adopted the newly developed Non-Linear Fourier unit root test advanced by Enders and Lee (2004, 2009) which allows for an unknown number of structural breaks with unknown functional forms and non-linearity in data generating process of stock prices series to test the Random Walk Hypothesis (RWH) for the five markets, and an augment regression model. Findings In light of the empirical evidence the author(s) using Non-linear Fourier Unit Root Test only fail to reject the RWH for South Africa, Nigeria and Egypt leading to the conclusion that these markets follow the RWH and weak-form efficient whilst Ghana and Mauritius are weak-form inefficient. Besides, evaluating non-linear models without adjusting for thin trading effect shows that, South Africa and Ghana markets are weak-form efficient while Nigeria, Egypt and Mauritius are not. However, after accounting for thin trading effect, the author(s) find that South Africa and Egypt markets follow the RWH. The findings imply that market efficiency results depend on the methodology used. Originality/value This paper provides further evidence on stock market efficiency in emerging markets. The finding suggests that thin trading and non-linearity effect influences markets efficiency tests in African stock markets. Thus, recent structural adjustment and liberalization policies have not enhanced stock market operations in Africa. This paper therefore has implications for policy makers and international investors.

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