scholarly journals Weak Form of Efficiency Hypotheses: Empirical Modeling With Box –Pierce, ADF and ARCH Tests

2020 ◽  
Vol 11 (5) ◽  
pp. 137
Author(s):  
Saliha Theiri ◽  
Abdessatar Ati
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Weak Form ◽  
Developed Countries ◽  
Empirical Modeling ◽  
Conditional Heteroskedasticity ◽  
Information Efficiency ◽  
Efficiency Hypothesis

The aim of this paper is to analyze the information efficiency after period of revolution. In particularly, it is a question of testing the weak form of efficiency on the Tunisian stock market. Based in many studies in literature of efficiency in developed countries, the select sample is compound of 52 companies over the period 2014-2018. By applying the different test of Unit Root (ADF), Box –Pierce and ARCH for detect the presence or not of Conditional heteroskedasticity. These tests show that the efficiency hypothesis in its weak form is not verified for majority of companies making up our sample, but it is only confirmed in 10 companies.

scholarly journals THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

2020 ◽  
Vol 8 (4) ◽  
pp. 409-423
Author(s):  
Sümeyra GAZEL
Keyword(s):  
Developing Countries ◽  
Unit Root ◽  
Structural Break ◽  
Unit Root Test ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Developed Countries ◽  
Exchange Traded Funds ◽  
Unit Root Testing ◽  
Daily Data

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

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 Random Walk Hypothesis for Stock Prices in Fiji

2021 ◽  
Vol 13 (2) ◽  
pp. 79-88
Author(s):  
Janesh Sami
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Unit Root ◽  
Stock Prices ◽  
Structural Break ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller ◽  
Historical Movement

The main goal of this paper is to investigate the random walk hypothesis in Fiji using monthly data from January 2000 to October 2017. Applying augmented Dickey Fuller (ADF 1979, 1981) and Phillips-Perron (1988), Zivot-Andrews (1992), and Narayan and Popp (2010) unit root tests, this study finds that stock prices is best characterized as non-stationary. The estimated multiple structural break dates in the stock prices corresponds with devaluation of Fijian dollar by 20 percent in 2009 and General Elections in September 2014, which Fiji First Party won by majority votes. The empirical results indicate that stock prices are best characterized as a unit root (random walk) process, indicating that the weak-form efficient market hypothesis holds in Fiji’s stock market. Hence, it will be difficult to predict future returns based on historical movement of stock prices in Fiji’s stock market.

scholarly journals Weak Form Efficiency of Pakistan Stock Market using Non-Parametric Approaches

2011 ◽  
Vol 2 (6) ◽  
pp. 249-257
Author(s):  
Muhammad Irfan ◽  
Maria Irfan .
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Lilliefors Test ◽  
Anderson Darling ◽  
Non Parametric ◽  
Weak Form Efficiency

This paper studies the performance of Karachi Stock Exchange (KSE) of Pakistan via nonparametric approaches. The study includes the weekly open and closing prices of KSE- 100 indexes for the period of 1st January 1999 to 31st August 2009. Several non-parametric approaches including KolmogorovSmirnov test (Lilliefors test), Ryan-Joiner test (Shapiro-Wilk), Anderson-Darling test, Phillips Perron (PP) unit root test and Runs test are used to test the conviction of the KSE stock market. All non-parametric tests graphically and numerically inform us that both return series do not follow the assumption of normality and randomness, which means rejecting the hypothesis of weak form of efficiency. Generally, results from the observed analysis strongly recommend that the Karachi Stock Market of Pakistan is not efficient.

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

Forecasting developed and BRICS stock markets with cryptocurrencies and gold: generalized orthogonal generalized autoregressive conditional heteroskedasticity and generalized autoregressive score analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ahmed Jeribi ◽  
Achraf Ghorbel
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Value At Risk ◽  
Developed Countries ◽  
The Other ◽  
Conditional Heteroskedasticity ◽  
Content Type ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Developed Stock Markets ◽  
Generalized Orthogonal

PurposeThe purpose of this paper is threefold. First, it models and forecasts the risk of the five leading cryptocurrencies, stock market indices (developed and BRICS) and gold returns. Second, it conducts different backtesting procedures forecasts. Third, it focuses on the hedging potential of cryptocurrencies and gold.Design/methodology/approachThe authors used the generalized autoregressive score (GAS) models to model and forecast the risk of cryptocurrencies, stock market indices and gold returns. They conduct different backtesting procedures of the 1% and 5%-value-at-risk (VaR) forecasts. They also use the generalized orthogonal generalized autoregressive conditional heteroskedasticity (GO-GARCH) model to explore the hedging potential of cryptocurrencies by estimating the dynamic conditional correlation between cryptocurrencies and gold, on the one hand, and stock markets on the other hand.FindingsWhen conducting different backtesting procedures of VaR, our finding suggests that Bitcoin has the highest VaR among cryptocurrencies and Gold and the BRICS indices returns have lower VaR compared to the developed countries. Finally, we provide evidence that the risks among developed stock markets can be hedged by Bitcoin and Gold. Bitcoin can be considered as the new Gold for these economies. Unlike Bitcoin, Gold can be considered as a hedge for Chinese and Indian investors. However, Gold and Bitcoin can be considered as diversifier assets for the other BRICS economies while Dash and Monero are diversifier assets for developed stock markets.Originality/valueThe first paper's empirical contribution lies in analyzing optimal forecast models for cryptocurrencies (other than Bitcoin) returns and risk. The second contribution consists of studying the hedging potential of five leading cryptocurrencies. To the best of our knowledge, no previous studies have investigated the role of cryptocurrencies for BRICS investors.

scholarly journals Is the Configuration of Indian Stock Market Weakly Efficient?

2021 ◽  
Vol 9 (3) ◽  
pp. 1-6
Author(s):  
Aditya Prasad Sahoo
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Unit Root Test ◽  
Weak Form ◽  
Stock Valuation ◽  
Monthly Basis ◽  
Stock Market Efficiency ◽  
Run Test ◽  
Indian Stock Market ◽  
Ks Test

The main aim of this study is to find out the whether the Indian stock market efficiency is in weak form. The aim of this study is to look into the Indian Stock Market’s lack of market performance. From 2000 to 2015, sample is gathered on a daily, weekly, and monthly basis. Unit Root Test, Run Test, and KS Test are used to examine the data. According to the findings, The Runs Test disproves the existence of a random walk and demonstrates that the Indian stock market is not weakly efficient. Through stock valuation strategies, technical and fundamental analysts may generate volatile returns.

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5) ◽  
pp. 29 ◽  
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5(J)) ◽  
pp. 29-42
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

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