scholarly journals Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange (DSE)

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Shakila Yasmin ◽  
Mahmudur Rahman ◽  
Gazi Salah Uddin
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Weak Form ◽  
Policy Reforms ◽  
Parametric Test ◽  
Normality Test ◽  
Auto Correlation ◽  
Run Test ◽  
The Impact ◽  
Auto Regression

The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both non-parametric test (Kolmogrov-Smirnov normality test and Run test) and parametric test (Auto-correlation test, Auto-regression) has been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level

scholarly journals Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange

2011 ◽  
Vol 2011 ◽  
pp. 1-8 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Shakila Yasmin ◽  
Mahmudur Rahman ◽  
Md. Gazi Salah Uddin
Keyword(s):  
Market Efficiency ◽  
Subject Matter ◽  
Stock Exchange ◽  
Weak Form ◽  
Nonparametric Test ◽  
Policy Reforms ◽  
Parametric Test ◽  
Normality Test ◽  
Run Test ◽  
The Impact

The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both nonparametric test (Kolmogrov-Smirnov normality test and run test) and parametric test (autocorrelation test, autoregression) have been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level.

scholarly journals Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

2017 ◽  
Vol 6 (11) ◽  
pp. 58 ◽  
Author(s):  
Shahadat Hussain ◽  
Sujit Kumer Deb Nath ◽  
Md. Yeasir Arafat Bhuiyan
Keyword(s):  
Random Walk ◽  
Empirical Analysis ◽  
Stock Exchange ◽  
Weak Form ◽  
Autocorrelation Coefficient ◽  
Parametric Test ◽  
Daily Return ◽  
Run Test ◽  
Daily Returns ◽  
Skewness And Kurtosis

<p>We study the random walk behavior of Chittagong Stock Exchange (CSE) by using daily returns of three indices for the period of 2006 to 2016 employing both non-parametric test (run test) and parametric tests [autocorrelation coefficient test, Ljung– Box (LB) statistics]. The skewness and kurtosis properties of daily return series are non-normal, with a hint of positively skewed and leptokurtic distribution. The results of run test; autocorrelation and Ljung–Box (LB) statistics provide evidences against random walk behavior in the Chittagong Stock Exchange. Overall our result suggest that Chittagong Stock Exchange does not exhibit weak form of efficiency. Hence, there is opportunity of generating a superior return by the active investors.</p>

scholarly journals PENGUJIAN EFISIENSI PASAR MODAL BENTUK LEMAH DI BURSA EFEK JAKARTA PERIODE JANUARI-JULI 2001

2002 ◽  
Vol 1 (1) ◽  
Author(s):  
Merlina Widjaja ◽  
Endang Ernawati
Keyword(s):  
Market Efficiency ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Significance Level ◽  
Run Test ◽  
The Capital Market

Since 1988, Indonesian capital market, especially Jakarta Stock Exchange has been grown fast. Then, come up questions about capital market efficiency. The capital market is efficient if the securities prices reflecting all available informations and the prices are fair. Thus, investor could not achieve abnormal return. So, with this reasons and facts, the research analyze weak form Indonesia capital market efficiency at Jakarta Stock Exchange in periode January-July 2001. This research used samples 25 emitent. Autocorrelation test, run test, and variance ratio test were used to test the capital market efficiency. The result is that Indonesian capital market is efficient in weak form with 1% significance level. It means that securities movement have random walk pattern. Thus, investors could not achieve abnormal return if just used technical analysis with past securities prices data to predict prices in the future.

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 Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

An Empirical Research of Impact of the Merger of Pan-European and Oslo Stock Exchanges on the Efficiency of Tobacco Securities Market

2021 ◽  
Vol 7 (4) ◽  
pp. 568-587
Author(s):  
Dongpeng Xu ◽  
Deqin Lin ◽  
Dan Zhang
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Secondary Market ◽  
Securities Market ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Theory ◽  
Efficient Market Theory ◽  
The Impact

Objectives: Europe is one of the important markets for traditional tobacco. We analyzed the impact of exchange consolidation on securities market efficiency, so as to enable tobacco enterprises to improve the financing efficiency of the stock market and carry out transformation and upgrading. Methods: In this work. We’re based on efficient market theory, the merger of Pan-European Stock Exchange and Oslo Stock Exchange, Norway in June 2019 is analyzed through empirical analysis. The logarithmic returns of 25 listed companies in the Oslo Stock Exchange OBX-25 index were analyzed using OLSN Chow and KPSS tests. Results: It is found that of 72% of securities, the explanatory power of market returns for securities returns is increased, which shows significant improvement in market efficiency. The merger of stock exchanges can indeed improve the market efficiency. In addition, through the KPSS test, it is found that the merger of stock exchanges can improve the market efficiency. As time goes by, however, the validity decreases. Conclusion: The improvement of the efficiency of the securities market will be conducive to the financing efficiency of listed tobacco companies in the secondary market, promote the transformation of enterprises, and contribute to the tobacco control and the health of the population in Europe.

scholarly journals How efficient is the Johannesburg Stock Exchange really?

2018 ◽  
Vol 21 (1) ◽  
Author(s):  
André Heymans ◽  
Leonard Santana
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Active Management ◽  
Sign Test ◽  
Management Approach ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange ◽  
Portfolio Managers ◽  
The Impact

Background: There are various studies that confirm the efficiency of the Johannesburg Stock Exchange (JSE), implying that there are no opportunities for active portfolio managers to earn excess returns over the long run.Aim: The aim of the research is to prove that the sub-indices on the JSE go through cycles of efficiency and inefficiency even though the JSE as a whole might be considered informationally efficient.Setting: Although the JSE as a whole can be considered to be weak-form efficient, portfolio managers are not bound to investing in large liquid stocks alone. Many aggressive funds allow managers to also allocate a portion of their portfolio to smaller stocks. This has implications when considering the efficiency of the stocks being selected.Methods: Given the impact efficiency has on portfolio selection, we test for the adaptive market hypothesis using a representative sample of stock indices by means of the automatic variance ratio test, the Chow–Denning joint variance ratio and the joint sign test on the JSE.Results: Our results confirm that some of the smaller, and in some instances younger, indices are not always as efficient as the all share index, thus allowing portfolio managers with an active management approach some opportunities to profit from informational inefficiencies in the market.Conclusion: The practice of active management by portfolio managers in the South African market seems to defy logic if one considers the fact that the JSE as a whole is at the very least weak-form efficient. By proving that some of the sub-indices that make up the all share index are inefficient most of the time, this article shows that the phenomenon of active portfolio managers is less of a surprise.

Market efficiency and the global financial crisis: evidence from developed markets

2018 ◽  
Vol 35 (3) ◽  
pp. 362-385 ◽  
Author(s):  
Omid Sabbaghi ◽  
Navid Sabbaghi
Keyword(s):  
Financial Crisis ◽  
Market Efficiency ◽  
Global Financial Crisis ◽  
Weak Form ◽  
Content Type ◽  
Developed Markets ◽  
The Usa ◽  
Econometric Tests ◽  
The Impact ◽  
Empirical Investigations

Purpose This study aims to provide one of the first empirical investigations of market efficiency for developed markets during the recent global financial crisis. Design/methodology/approach Using the Morgan Stanley Capital International (MSCI) country indices as proxies for national stock markets, the study conducts a battery of econometric tests in assessing weak-form market efficiency for the developed markets. Findings The inferential outcomes are consistent among the different tests. Specifically, the study finds that the majority of developed markets are weak-form efficient while the USA is the sole equity market to be commonly diagnosed as weak-form inefficient across the different tests when using full period data spanning the January 2008-November 2011 period. However, when basing the analysis on one-year subsamples over the identical time period, this study fails to reject weak-form market efficiency for all of the developed markets and presents evidence consistent with the Adaptive Market Hypothesis as described by Urquhart and Hudson (2013). When applying technical analysis for the case of the USA over the full study period, the results indicate that the return predictabilities can be exploited for some horizon of variable length moving average (VMA) trading rules. Originality/value This study provides one of the first empirical investigations of market efficiency for developed markets during the recent global financial crisis using an extended set of econometric tests. The study contributes to the existing body of empirical research that formally assesses the impact of a financial crisis on stock market efficiency and underlines the significance and relevance of examining market efficiency through subsample analysis.

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