scholarly journals Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse

2017 ◽  
Vol 14 (2) ◽  
pp. 376-385 ◽  
Author(s):  
Iqbal Thonse Hawaldar ◽  
Babitha Rohit ◽  
Prakash Pinto
Keyword(s):  
Random Walk ◽  
Stock Price ◽  
Goodness Of Fit ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Goodness Of Fit Test ◽  
Efficient Market ◽  
Share Prices ◽  
The Individual ◽  
Run Test

Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

scholarly journals The Investigation of a Weak Form of the Efficient Market Hypothesis: Evidence From Stock Markets in the European Union

2019 ◽  
pp. 107-116
Author(s):  
Jacek Karasiński
Keyword(s):  
European Union ◽  
Random Walk ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Model ◽  
Stock Exchanges ◽  
Informational Efficiency ◽  
The European Union ◽  
Efficient Market ◽  
Research Period

The purpose of this article is to examine whether returns of main indexes of selected stock exchanges in the European Union are subject to the random walk model proposed by L. Bacheliere in 1900, which is considered by many researchers to be a synonym of a weak form of the efficient market. The research was conducted for the main indexes of eight selected European stock exchanges representing markets of a different capitalisation. In order to check whether the level of informational efficiency was stable in a whole research period, namely in the years 2000-2017, the research period was divided into three equal six years sub-periods. To test a weak form of the efficient market hypothesis (EMH), four different tests of returns distribution normality were done for daily, weekly, monthly and quarterly intervals. The conducted study allowed for rejecting the null hypothesis saying that returns are subject to the random walk model proposed by L. Bacheliere which leads to normal distribution. Moreover, some significant differences between the research periods occurred. Nonetheless as the random walk model seems to be too strict even for the biggest European markets, it is proposed to test whether the returns can be subject to other stable distributions like the Pareto distribution, which gives higher probability to extremely low and high returns of what resembles actual price fluctuations of financial markets.

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 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.

Volatility and efficiency of the world crude oil market

2015 ◽  
Vol 31 (1) ◽  
pp. 20-29
Author(s):  
Fawzan Abdul Aziz Al Fawzan
Keyword(s):  
Random Walk ◽  
Crude Oil ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Spot Price ◽  
Conditional Heteroskedasticity ◽  
Efficient Market ◽  
Content Type ◽  
Oil Market ◽  
Autoregressive Conditional Heteroskedasticity

Purpose – The purpose of this paper is to examine volatility and the weak-form efficient market hypothesis (random walk) of world spot crude oil market. Design/methodology/approach – The study uses the generalized autoregressive conditional heteroskedasticity (GARCH-M), exponential generalized autoregressive conditional heteroskedasticity (EGARCH), and threshold GARCH (TGARCH) models. The data are selected from three markets: Dubai Vetch (DV), West Texas Intermediate, and Europe Brent Spot Price. Findings – The weak-form efficient market (random walk) hypothesis was rejected for all estimated GARCH-M, EGARCH, and TGARCH models, indicating that these markets are inefficient and predictable. For daily data, the empirical results showed the presence of asymmetric effects, and the conditional variance process was found to be highly persistent. Originality/value – This study is unique in its nature as it examines three markets on three continents. In addition, one of these markets (DV) was not carried out by the previous study. This work takes into account the market location.

scholarly journals Testing Weak Form of Stock Market Efficiency at The Indonesia Sharia Stock Index

2019 ◽  
Vol 10 (1) ◽  
pp. 17
Author(s):  
Isnaini Nuzula Agustin
Keyword(s):  
Time Series ◽  
Stock Price ◽  
Moving Average ◽  
Arima Model ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Stock Index ◽  
Time Series Modelling ◽  
Current Price ◽  
Run Test

AbstractEfficient Market is the market where all traded securities prices reflects all available information. Market Efficient Hypotesis in the Weak Form stated that past stock price movement incorporated with current securities’s prices, thus it can be used to predicting the current price or return. The objective of this research is to examine the weak form of Efficient Market Hypothesis (EMH) in Indonesia Sharia Stock Index (ISSI) over the period of January 3rd2017 -February 8th 2019. To Examine the EMH, some appropriate tests are developed, these are: Run Test, Autocorrelation Test, Autoregressive Integrated Moving Average (ARIMA), and Paired Sample t-test. The result findings showing that ISSI is not efficient in the weak form during the period of the study. Moreover, in accordance with time series modelling result, the fitted model is ARIMA (1,1,1) with accuracy level of 78%. This result proved that ARIMA model successfully and accurately in forecasting ISSI indices. It can be implied that the historical stock index data in the past still described the stock index information in the future. Thus, technical analysis is still feasible to do as the guide for investors in conducting transactions in the capital market.AbstrakPasar yang efisien adalah pasar dimana semua harga sekuritas yang diperdagangkan telah mencerminkan semua informasi yang tersedia. Teori pasar efisien bentuk lemah menyatakan bahwa perubahan harga masa lalu tidak berhubungan dengan harga sekuritas sekarang, sehingga tidak dapat digunakan untuk memprediksi harga atau return dari sekuritas. Penelitian ini bertujuan untuk melakukan pengujian hipotesis pasar efisien bentuk lemah pada Indeks Saham Syariah Indonesia (ISSI). Data diambil pada periode 3 Januari 2017 – 8 Februari 2019. Pada tahap awal penelitian, Run test dan Autocorrelation test dilakukan untuk melihat apakah pasar efisien bentuk lemah berlaku pada ISSI. Selanjutnya dilakukan pembentukan pemodelan time series ARIMA untuk melihat teknik prediksi yang sesuai untuk memprediksi Indeks Saham ISSI. Hasil Run test dan Autocorrelation test menunjukkan bahwa hipotesis pasar efisien bentuk lemah tidak terbukti. Pada pembentukan model ARIMA, terlihat bahwa model yang sesuai adalah ARIMA (1,1,1) menghasilkan tingkat akurasi sebesar 78%. Hal ini membuktikan bahwa model ARIMA berhasil dan akurat digunakan untuk memprediksi Indeks Harga Saham ISSI. Oleh karena itu, analisis teknikal masih dapat digunakan oleh investor untuk menjadi pedoman dalam melakukan transaksi perdagangan di pasar modal.

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 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 ANALISIS EFISIENSI PASAR MODAL SYARI’AH DAN KONVENSIONAL BENTUK LEMAH BURSA EFEK INDONESIA

2014 ◽  
Vol 4 (1) ◽  
pp. 65
Author(s):  
Aprinta Trisna Mujisukamto ◽  
Aftoni Sutanto
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Stock Price ◽  
Random Number ◽  
Weak Form ◽  
Share Price ◽  
Efficient Market ◽  
Price Data ◽  
Run Test ◽  
Observation Period

The analysis in this study was to test the efficiency of the Indonesian capital market in the form of weak. this research has two objeactives, the first objectives is analyze whether Indonesia capital market (convensional and syari’ah) has been efficient (weak-form). The second one is to analyze differentiation efficient market between convensional and syari’ah capital market. This study uses monthly stock price data, from 23 conventional stocks included in the index LQ45 and 2 Islamic stocks included in the index during the observation period 2012-2013 JII. To test the hypothesis efficiency of capital markets weak form using the Run Test, this test is used to test randomness stock price changes. Results from this study are in the period 2012-2013 of conventional and islamic capital market is efficient in the weak form and analyze by looking for a random number of shares on the capital market conventional and islamic capital market, the results showed that there were 22 (95.7%) share price conventional random and 2 (100%) the share price of sharia are random. Based on the analysis of Islamic capital markets more efficient than the conventional capital market.

Physicist’s Point of View on the Way to Equilibrium and Efficiency of Stock Market

2009 ◽  
pp. 82-89
Author(s):  
A. Leonidov
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Correlation Functions ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Point Of View ◽  
Special Model ◽  
Share Prices ◽  
Exogenous Shocks ◽  
New Information

The article provides a new method for testing the efficient market hypothesis in its weak form. A special model of stock market is built to estimate correlation functions. The main result is that the dynamics of share prices is close to the random walk but could be better described by a more sophisticated law of distribution. The market processes new information with a certain lag but its reaction is fast enough. Share prices reflect exogenous shocks much quicker than endogenous ones.

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