scholarly journals Weak Form Efficiency Evaluation at the Bulgarian Stock Exchange Using Runs Test

2021 ◽  
Vol 27 (2) ◽  
pp. 60-71
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficiency Evaluation ◽  
Test Results ◽  
Public Companies ◽  
Stationary Test ◽  
Weak Form Efficiency

The article aims to test the weak form of efficiency of a sample of public companies on the Bulgarian Stock Exchange (BSE) for the period from October 2000 to June 2020 on the basis of weekly returns. 9 companies and the SOFIX index meet the set criteria for inclusion in the sample. Descriptive characteristics of the weekly returns, autocorrelations and the extended Dickie and Fuller (ADF) stationary test are presented. The methodology of the Runs Test is considered. The Runs Test results reject the weak form of efficiency for the SOFIX index and some of the companies. Autocorrelations of returns further support the rejection of the weak form of efficiency.

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence

2017 ◽  
Vol 16 (1) ◽  
pp. 90-113 ◽  
Author(s):  
Emenike Kalu O.
Keyword(s):  
Financial Crisis ◽  
Banking Sector ◽  
Oil And Gas ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Weak Form ◽  
Jel Classification ◽  
Fundamental Analysis ◽  
Lm Test ◽  
Weak Form Efficiency

This article investigates weak-form efficiency of the Nigerian Stock Exchange (NSE) and its sectors for the post-global financial crisis period using autocorrelation test, Ljung–Box Q test, McLeod-Li portmanteau test and ARCH-LM test. The descriptive statistics show that the returns of NSE and its sectors are positive. The results show that (i) investors can only predict banking sector return using superior fundamental analysis of their intrinsic values; (ii) prediction of the NSE 30 and Shari’ah equities sector returns require nonlinear model and fundamental analysis and (iii) consumer goods sector and oil and gas sector may be predicted using both technical and fundamental analyses. JEL Classification: G11, 14

scholarly journals The Evolving Efficiency Of The South African Stock Exchange

2012 ◽  
Vol 11 (9) ◽  
pp. 997 ◽  
Author(s):  
Lumengo Bonga-Bonga
Keyword(s):  
Stock Returns ◽  
South African ◽  
Stock Exchange ◽  
Weak Form ◽  
Time Varying ◽  
The South ◽  
Forecast Performance ◽  
Nested Models ◽  
Out Of Sample ◽  
Weak Form Efficiency

This paper tests the weak-form efficiency in the South African stock exchange - the Johannesburg Securities Exchange (JSE) - under the hypothesis that emerging markets efficiency evolves through time as these markets constantly enhance their regulatory environment. The paper makes use of the time varying GARCH model in testing this hypothesis. In addition, the paper compares the out-of-sample forecast performance of the time varying and fixed parameter GARCH models in predicting stock returns in the JSE making use of MSE-F statistics for nested models proposed (McCracken, 1999). The findings of the paper show that the two models provide the same conclusion in showing that the JSE has been efficient during the period of the analysis. In addition, the time varying model outperforms the fixed coefficient model in predicting the JSE stock returns. This finding indicates that the time-varying parameter model adds a benefit in testing the weak-form efficiency or modelling stock return in the JSE.

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 The Influence of Firm Size, Audit Firm Size, Profitability, Solvability, and Public Ownership on Audit Delay

2021 ◽  
Vol 17 (2) ◽  
pp. 162-174
Author(s):  
Katherine Handayani Ubwarin ◽  
Christina Tri Setyorini ◽  
Icuk Rangga Bawono
Keyword(s):  
Firm Size ◽  
Sampling Method ◽  
Stock Exchange ◽  
Test Results ◽  
Public Ownership ◽  
Public Companies ◽  
Audit Firm ◽  
Purposive Sampling ◽  
Simultaneous Test ◽  
Size Firm

Abstract: This study aims to measure company size, company audit size, profitability, solvency and public ownership toward audit delay. It is an explanatory study with a quantitative approach. It selects transportation industries listed in Indonesia Stock Exchange (BEI) on period of 2008-2015 as population. It took 64 samples from public companies using purposive sampling method. Data were analyzed using Multiple Regression Analysis that include descriptive statistics, classical assumption test, and hypothesis testing (multiple linear regression, simultaneous test and partial test). The results of this study proved to be useful and efficient. Based on test results in this study, it can be concluded that firm size and audit firm size have an effect on audit delay. Meanwhile, profitability, Solvability, and public ownership have no effect to audit delay.Keywords: audit delay, audit firm size, firm characteristicsPengaruh Ukuran Perusahaan, Ukuran Kantor Audit, Profitabilitas, Solvability, dan Kepemilikan Publik terhadap Audit DelayAbstrak: Penelitian ini bertujuan untuk mengukur ukuran perusahaan, ukuran audit perusahaan, profitabilitas, solvabilitas dan kepemilikan publik terhadap penundaan audit. Jenis penelitian ini adalah penelitian eksplanatori dengan pendekatan kuantitatif. Penelitian ini memilih industri transportasi yang terdaftar di Bursa Efek Indonesia (BEI) pada periode 2008-2015 sebagai populasi. Penelitian ini mengambil 64 sampel dari perusahaan publik dengan menggunakan metode purposive sampling. Data dianalisis dengan menggunakan Analisis Regresi Berganda yang mencakup statistik deskriptif, uji asumsi klasik, dan pengujian hipotesis (regresi linier berganda, uji simultan dan uji parsial). Hasil penelitian ini terbukti bermanfaat dan efisien. Berdasarkan hasil pengujian dalam penelitian ini, dapat disimpulkan bahwa ukuran perusahaan dan ukuran kantor audit berpengaruh terhadap audit delay. Sementara itu profitabilitas, Solvabilitas, dan kepemilikan publik tidak berpengaruh terhadap audit delay.Kata kunci: audit delay, karakteristik perusahaan, ukuran kantor audit

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