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 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 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.

scholarly journals Modified Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity

2018 ◽  
Vol 23 (1) ◽  
pp. 1-19
Author(s):  
Sohail Chand ◽  
Nuzhat Aftab
Keyword(s):  
Stock Exchange ◽  
Numerical Results ◽  
Asymptotic Distributions ◽  
Small Samples ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
Daily Returns

Given that autocorrelation tests do not perform well in the presence of heteroskedasticity and in variance-break cases, we present three modified weighted variance ratio tests of autocorrelation. The numerical results show that the proposed tests perform better for small samples. They provide a better approximation of asymptotic distributions and are more powerful when the lag length is mis-specified. The study also applies these tests to data on the daily returns of two companies listed on the Pakistan Stock Exchange.

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 changing market efficiency of the Nairobi securities exchange

2016 ◽  
Vol 11 (2) ◽  
pp. 70-80 ◽  
Author(s):  
Josephine M. Njuguna
Keyword(s):  
Data Analysis ◽  
Market Efficiency ◽  
Test Period ◽  
Ratio Test ◽  
Variance Ratio ◽  
Analysis Method ◽  
Data Analysis Method ◽  
Variance Ratio Test ◽  
Year 2000

This paper tests for market efficiency changes of the Nairobi Securities Exchange (NSE) after the year 2000 and determines whether technological advancements have led to an increase in the market efficiency. The data that are used are the NSE 20 share index over the period, January 2001 to January 2015 and the NSE All Share Index (ASI) from its initiation, in February 2008 to January 2015. The data analysis method applied is the variance ratio test. The study finds that the market efficiency of the NSE has increased over the test period which suggests that advancement in technology has contributed to the increase in the market efficiency of the Kenyan market. Therefore, the findings of the study are in line with the Adaptive Market Hypothesis (AMH) for the NSE

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.

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