scholarly journals The Analysis of Weak-Form Efficiency in the Market of Crude Oil

2016 ◽  
Vol 5 (1) ◽  
pp. 101 ◽  
Author(s):  
Anna Górska ◽  
Monika Krawiec
Keyword(s):  
Crude Oil ◽  
Market Efficiency ◽  
Stock Prices ◽  
Statistical Tests ◽  
Commodity Prices ◽  
Weak Form ◽  
Variance Ratio ◽  
Calendar Effects ◽  
Day Of The Week ◽  
Weak Form Efficiency

Crude oil is the strategic commodity whose market has become the biggest commodity market in the world over the past 40 years. The main actors in the market, such as producers, refiners, financial institutions, and individual traders are interested in recognizing some trends, patterns or anomalies in performance of oil prices and returns, they could benefit from. Such anomalies among others are calendar effects, for example the day-of-the week effect, the month-of-the year effect, holidays effect or the turn-of-the month effect. Either the calendar effects are observed for stock prices, or for commodity prices, they make the markets inefficient. According to classical Fama’s definition: a market in which prices always fully reflect available information is called efficient. However, there are 3 types of market efficiency: weak-form efficiency, semistrong-form efficiency, strong-form efficiency. The weak-form market efficiency is tested the most often. There are several tools used for its verification, for example: some statistical tests (unit root tests, autocorrelation tests, variance ratio tests), long-run relationships and correlation analysis, calendar effects analysis. Our previous research focused on searching for calendar effects in the market of crude oil (Górska, Krawiec 2015), shows the existence of the-day-of-the week and the month effects. It may imply market inefficiency. That is why the present paper is aimed at further testing weak-form market efficiency. The empirical data covers daily closing prices of crude oil in USD per barrel from 2000 to 2015 and includes, both West Texas Intermediate (WTI) and Brent quotations. Having calculated their logarithmic returns, we apply the following tests: runs test, variance ratio, autocorrelation test.

scholarly journals Pengujian Calendar Effect di Bursa Efek Indonesia tahun 2016

2017 ◽  
Vol 2 (2) ◽  
pp. 76-86
Author(s):  
Mega Noerman Ningtyas
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Market Theory ◽  
Ols Regression ◽  
Day Of The Week

Market efficiency theory stated that stock prices reflect all information in the market. There are 3 different level of market efficiency: weak form, semi-strong form and strong form. When a market is in the state of weak form, there is no investor can gain abnormal return using past information. Calendar effect that is Day of the Week, January Effect and Turn of the Month is anomaly in the stock market that opposed the efficiency market theory. The purpose of this study is to examine the Calendar Effect in Indonesia Stock Exchange during 2016. This research use daily stock price data in LQ45. Using the OLS regression with 5 dummy variables, the results showed that trading day had an effect on stock return where negative return occurred on Monday but not significant. The positive return occured in the following days and the highest return occurred on Wednesday. It can be concluded that the first hypothesis of Day of the Week phenomenon is supported. OLS regression with  1 variable dummy for return in January and 0 otherwise, the result shows that the coefficient is negative and insignificant so it can be concluded that January Effect is not supported. Third hypothesis, Turn of the Month, result shows positive and significant coefficient at level 1%. It means the stock returns in 5 trading days at the end of the month and 2 trading days at the beginning of the month are higher than in other days.

scholarly journals Using Mechanical Trading Systems to Evaluate the Weak Form Efficiency of Futures Markets

1982 ◽  
Vol 14 (1) ◽  
pp. 147-151 ◽  
Author(s):  
Paul E. Peterson ◽  
Raymond M. Leuthold
Keyword(s):  
Spectral Analysis ◽  
Hypothesis Testing ◽  
Serial Correlation ◽  
Futures Markets ◽  
Statistical Tests ◽  
Weak Form ◽  
Future Price ◽  
Trading Systems ◽  
Available Information ◽  
Weak Form Efficiency

An efficient market has been described by Fama (1970) as one in which prices always fully reflect all available information. Of the three tests of efficiency discussed, the weak form test is concerned with the randomness of price movements and measures the ability to predict future price changes from past and present changes. There are two general ways to evaluate weak form efficiency: statistical tests and mechanical trading rules. Statistical methods, including serial correlation, spectral analysis and nonparametric runs tests, permit hypothesis testing, but Fama and Blume (p. 227) point out that they may be of limited value with complex or irregular price structures.

scholarly journals Testing Weak-Form Market Efficiency On The TSX

2014 ◽  
Vol 30 (3) ◽  
pp. 647 ◽  
Author(s):  
Ilona Shiller ◽  
Ishmael Radikoko
Keyword(s):  
Market Efficiency ◽  
Unit Root ◽  
Long Memory ◽  
Statistical Tests ◽  
Weak Form ◽  
Equity Market ◽  
Residual Series ◽  
The Common ◽  
Two Indices ◽  
Equity Index

<p>This study tests the validity of the weak-form EMH on the Canadian TSX equity market using seven TSX daily index returns. Quantitatively, a variety of statistical tests is used to test for the randomness of return series. Results of the common statistical (i.e., the autocorrelation, the BG, the runs) tests all suggest that returns are serially correlated, except returns on the TSX 60 capped index. After rejecting the RWM of TSX indices using univariate unit root (i.e., ADF, PP, KPSS), we proceed to test for the possibility of nonlinear dynamic patterns present in return series. BDS results reject an IID underlying residual series after fitting AR(2) to TSX daily index returns, indicating that a deterministic chaotic process describes the data well. This finding of a temporal dependency is supported also by results of the R/S analysis, which indicates that all TSX index returns possess long-memory properties of an anti-persistent trend-reversing behaviour with two indices showing stronger degree of anti-correlation and five indices showing weaker degree of anti-correlation. Overall, results uniformly reject the RWM governing TSX equity index returns, implying that the Canadian equity market is weak-form inefficient.</p>

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 Adaptive market hypothesis: An empirical analysis of the Wine Market

2021 ◽  
Vol 10 (2) ◽  
pp. 99-109
Author(s):  
Anoop S Kumar
Keyword(s):  
Linear Dependence ◽  
Statistical Tests ◽  
Weak Form ◽  
Informational Efficiency ◽  
Variance Ratio ◽  
Full Dataset ◽  
Long Run ◽  
Hurst Coefficient ◽  
Non Linear ◽  
Wine Market

We test the nature of weak form informational efficiency present in the wine market using daily return of LIV-EX 50 index from 1/1/2010 to 12/6/2020. First, we employ a number of statistical tests including variance ratio tests, tests for linear and non-linear dependence and Hurst coefficient. The tests are applied on the full dataset and on four non overlapping sub-samples of equal length. The variance ratio tests provide a mixed regarding informational efficiency. Evidence of non-linear dependence in the return series was found. The Hurst coefficient values confirm the presence of long run persistence in the wine market. Based on the mixed evidence, we test the possibility of adaptive nature of the wine market. We employ the newly proposed Adaptive Index (AI) to quantify the degree of information inefficiency in the wine market at any instance. Our results confirm that wine market is adaptive and periodically shifts between states of efficiency and inefficiency. The wine market is found to be relatively free from the Covid-19 induced shock and the safe haven property of wine is thus confirmed. Finally, impact of various macroeconomic and financial events on wine market efficiency is identified by using AI. 

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 Testing for efficiency in the Saudi stock market: does corporate governance change matter?

2020 ◽  
Author(s):  
Mamdouh Abdulaziz Saleh Al-Faryan ◽  
Everton Dockery
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Stock Prices ◽  
Hurst Exponent ◽  
Weak Form ◽  
Long Range Dependence ◽  
Informational Efficiency ◽  
Variance Ratio ◽  
Wald Tests ◽  
Random Walk Hypothesis

Abstract We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

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.

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