scholarly journals RANDOM WALKS AND MARKET EFFICIENCY: GOLD, PLATINUM, SILVER VS ASIA EQUITY MARKETS

2021 ◽  
Author(s):  
Rui Dias ◽  
◽  
Paulo Alexandre ◽  
Cristina Vasco ◽  
Paula Heliodoro ◽  
...  
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Free Market ◽  
Weak Form ◽  
International Markets ◽  
Random Walk Hypothesis ◽  
Market Inefficiency ◽  
Variance Ratios ◽  
Silver Silver ◽  
Gold Platinum

This paper aims to analyze the efficiency, in its weak form, in the markets of commodities, Platinum (London Platinum Free Market $/Troy oz), GOLD (Gold Bullion LBM $/t oz DELAY), SILVER (Silver – Zurich SW. francs/kg) and the stock markets of KOREA, CHINA, JAPAN, PHILIPPINES, IN¬DONESIA, from January 1, 2019 to October 20, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the Gold, Platinum, Silver markets have more robust levels of efficiency when compared to Asian stock markets? The results of the variance test indicate that the random walk hypothesis is rejected in the Gold, Platinum and Silver markets, as well as in the Asian stock markets, with no differences between markets. These findings show that profitability is auto-correlated over time, with a reversal of the mean, because the values of variance ratios are lower than the unit, i.e., price fluctuations are not i.i.d. The results have significant implications for investors, as market inefficiency can affect the domestic and international flows of an economy. In conclusion, the hypothesis of market efficiency, in weak form, may be questionable, since the prediction of the movement of a given market can be improved if the out-of-the-current movements of the other markets are considered, thus enabling the occurrence of arbitrage operations. These findings also make room for regulators in these markets to take steps to ensure better information between these markets and international markets.

scholarly journals RANDOM WALKS AND MARKET EFFICIENCY TESTS: EVIDENCE FOR US AND AFRICAN CAPITAL MARKETS

2021 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Paulo Alexandre ◽  
Paula Heliodoro ◽  
...  
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
International Markets ◽  
Sharp Drop ◽  
Global Pandemic ◽  
The Usa ◽  
Variance Ratios ◽  
Economic Conflict

The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. This economic conflict resulted in a sharp drop in the price of oil in 2020, as well as crashes in international markets. In the light of these events, our aim was to test the efficient market hypothesis, in its weak form, in the stock markets of Botswana (BSE), Egypt (EGX 100), Kenya (NSE 20), Moroccan All Shares (MASI), Tunisia (Tunindex), and the MARKET of the USA (DOWJONES INDUSTRIALS), in the period of Septem¬ber 2, 2019 to January 11, 2021. The results therefore support the evidence that the random walk hypoth¬esis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean. In order to validate the results, we estimate the model αDFA that shows that the stock markets NSE 20 (0.75), TUNINDEX (0.69), MASI (0.63), EGX 100 (0.64), BSE (0.61), DOW JONES (0.58) show autocorrelation in their profitability, that is, these markets show signs of (in) efficiency, in its weak form, persistence in profitability, validating the results of the variance test by Rankings and Wright Signs. In conclusion we can show that the U.S. stock market has more market efficiency when compared to the African stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

scholarly journals STOCK MARKET EFFICIENCY IN AFRICA: EVIDENCE FROM RANDOM WALK HYPOTHESIS

2020 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Keyword(s):  
Random Walk ◽  
Financial Markets ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Hypothesis ◽  
Global Pandemic ◽  
Stock Market Efficiency ◽  
Variance Ratios ◽  
The Mean

This paper aims to test the efficient market hypothesis, in its weak form, in the stock markets of BOTSWANA, EGYPT, KENYA, MOROCCO, NIGERIA and SOUTH AFRICA, in the period from September 2, 2019 to September 2, 2020. In order to achieve this analysis, we intend to find out if: the global pandemic (Covid-19) has decreased the efficiency, in its weak form, of African stock markets? The results therefore support the evidence that the random walk hypothesis is not supported by the financial markets analyzed in this period of global pandemic. The values of variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there is reversal to the mean, and no differences were identified between the stock markets analyzed. The authors consider that the results achieved are of interest to investors looking for opportunities for portfolio diversification in these regional stock markets.

Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency

2007 ◽  
Vol 10 (03) ◽  
pp. 309-328 ◽  
Author(s):  
Changjiang Lu ◽  
Kemin Wang ◽  
Haiwei Chen ◽  
James Chong
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Detrimental Effect ◽  
Regulatory Policy ◽  
International Markets ◽  
Policy Changes ◽  
Foreign Investors ◽  
Price Differential ◽  
Chinese Stock Markets ◽  
A Share

We investigate the effectiveness of two recent regulatory policy changes on market efficiency in the Chinese A- and B-share markets. Overall, the opening of the B-share market to domestic Chinese investors and the limited opening of the A-share market to foreign investors increase market efficiency. The opening of the B-share market significantly reduces the price differential between A- and B-shares. Furthermore, there is no longer feedback in returns between the two markets in recent years. Our results provide evidence that there is no detrimental effect to market efficiency by integrating Chinese investors to international markets and foreign investors to the Chinese stock markets.

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 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.

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 The efficiency of emerging markets: Evidence from nonlinear panel unit tests

2021 ◽  
pp. 11-11
Author(s):  
Neslihan Turguttopbaş ◽  
Tolga Omay
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Nonlinear Models ◽  
Weak Form ◽  
Emerging Countries ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Financial Variables ◽  
Emerging Stock Markets ◽  
Market Indexes

In this study, we investigate market efficiency considering nonlinearities by testing the weak-form market efficiency of the stock markets of Brazil, China, Russia, Turkey, and South Africa using recently proposed nonlinear panel unit root tests. The stock markets of these emerging countries are deliberately selected for their market capitalization to form a homogenous panel. The results of nonlinear models indicate that the stock market indexes are stationary and weak-form inefficient. This finding contributes to the contradictory results of the prior research using linear and nonlinear models about the efficiency of emerging stock markets in favor of nonlinear ones. Furthermore, we propose that studies using financial variables consider such nonlinearity in order to achieve more accuracy in findings related to such studies.

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