Download or read book Testing Weak Form Market Efficiency of Selected Asian Stock Markets written by Nikunj Patel and published by Nikunj Patel. This book was released on 2022-11-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market is an integral part of any economy. The stock Market is important from both the industry's point of view as well as the investor's point of view. Stock exchanges plays very crucial role in the development of an economy. It helps in the mobilization of saving to the investment that shapes an economy. Previously stock market was open cry when brokers on behalf of investors buy and sell on the floor of exchange..
Download or read book Testing the Empirics of Weak Form of Efficient Market Hypothesis written by Nidhi Malhotra and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines the weak form of market efficiency of 10 selected stock exchanges in Asia-Pacific markets for daily, weekly and monthly returns from 1997 to 2012. The descriptive statistics results indicate that all the three return series (daily, weekly and monthly) are not normally distributed and are characterized as leptokurtic and skewed. The results of run test and autocorrelation indicate that the Asian markets are weak form efficient when tested on monthly returns but fail to exhibit characteristics of random walk in daily and weekly returns. The results of unit root conclude that data becomes stationary at order I(1) and the results of the more stringent variance ratio reject the existence of weak form of inefficiency in the selected stock indices. The results have important implications for investors who can exploit market inefficiency and earn abnormal profits while holding a well diversified portfolio in these emerging markets.
Download or read book Testing Weak Form of Efficient Market Hypothesis written by Saqib Nisar and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) suggests that stock prices fully reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This research has examined the weak form of efficient market hypothesis on the four major stock exchanges of South Asia that are Karachi stock exchange (KSE-100), Bombay stock exchange (BSE-SENSEX), Colombo stock exchange (CSE-MPI) and Dhaka stock exchange (DSE-GEN). Historical index values of KSE-100, BSE-SENSEX, CSE-MPI and DSE-GEN on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). We applied four different statistical tests including runs test, serial correlation (Durbin Watson test), unit root and variance ratio test. Findings suggest that none of the four major stock markets of south-Asia follows Random-walk and hence all these markets are not the weak form of efficient market.
Download or read book Weak Form Market Efficiency in India and Its Emerging Asian Counterparts written by B. J. Queensly Jeyanthi and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The majority of efficient market research has focused on the major US and European securities market. Very few research studies have investigated the markets of developing and less-developed countries. In this study, the existence of weak-form efficiency of Asian emerging stock markets is analyzed. The sample includes the daily price indices namely China (SSEC), Indonesia (JKSE), Kuala Lumpur (KLSE), Korea (KS11), Taiwan (TWII) and India (Nifty) for the period of April 1, 1998 to March 31, 2009. The hypothesis of the study is whether the Asian emerging stock market is weak-form efficient. The results of Kolmogrov-Smirnov normality test and run test, autocorrelation test and Ljung-Box (LB) test provide evidence that the share return series do not follow random walk model and the significant autocorrelation coefficient at different lags reject the null hypothesis of weak-form efficiency. But the unit root hypothesis provides sufficient evidence that stock prices of Asian emerging markets follow random walk process. On the basis of the unit root test (nonstationarity) it can be concluded that the Asian emerging markets are weak-form efficient. This research enables the security analysts, investors and security exchange regulatory bodies to make policy decisions and to improve the market condition.
Download or read book Weak form Market Efficiency in Asian Emerging and Developed Equity Markets written by Andrew Worthington and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper examines the random walk behaviour of a large number of Asian emerging and developed markets. Past studies of random walks and market efficiency in Asian equity markets have tended to focus on a single, often developed, market [see, for example, Groenewold and Kang (1993), Ayadi and Pyun (1994), Lian and Leng (1994), Huang (1995), Groenewold and Ariff (1998), Los (2000), Lee et al. (2001) and Ryoo and Smith (2002)]. The current analysis also includes a number of alternative, though complementary, testing procedures"--Page 3.
Download or read book Market Efficiency in Asian and Australasian Stock Markets written by Jae H. Kim and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market efficiency is an important feature of successful financial markets. The aim of this paper is to analyze the available evidence on the efficient market hypothesis (EMH). Meta-regression analysis is applied to 1,560 estimates of the Variance Ratio test of the efficiency of Asian and Australasian stock markets. We test if there is evidence of violation of the EMH and we also explain the heterogeneity in the reported test results. Our meta-regression analysis specifically accommodates the possibility of publication selection in favor of accepting the null hypothesis of market efficiency. We find that Asian stock markets are, on average, not informationally efficient. However, market efficiency has improved over time and market capitalization and economic freedom influences stock market efficiency; more developed and less regulated stock markets are more efficient.
Download or read book Testing the Weak Form of Efficient Market Hypothesis written by Kashif Hamid and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This empirical study is conducted to test the weak-form market efficiency of the stock market returns of Pakistan, India, Sri Lanka, China, Korea, Hong Kong, Indonesia, Malaysia, Philippine, Singapore, Thailand, Taiwan, Japan and Australia. Monthly observations are taken for the period January 2004 to December 2009. Autocorrelation, Ljung-Box Q-statistic Test, Runs Test, Unit Root Test and the Variance Ratio are used to test the hypothesis that the stock market follows a random walk. Monthly returns are not normally distributed, because they are negatively skewed and leptokurtic. In aggregate we concluded that the monthly prices do not follows random walks in all the countries of the Asian-Pacific region. The investors can take the stream of benefits through arbitrage process from profitable opportunities across these markets.
Download or read book The Chinese Stock Market written by Nicolaas Groenewold and published by Edward Elgar Publishing. This book was released on 2004-01-01 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: '. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.
Download or read book Weak Form Efficiency and Causality Tests in Chinese Stock Markets written by Martin Miles Laurence and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: China has two major stock exchanges, the Shanghai and the Shenzen exchanges. Each of these exchanges trades two types of shares, type “A” and type “B” shares. Type “A” shares are available to domestic investors only and type “B” shares are available to foreign investors. This article tests for the weak-form efficiency in these markets and explores the statistical relationships and causality among these Chinese stock markets with each other and with the U.S. and Hong Kong stock markets. The results indicate the existence of (1) a weak-form efficiency in the market for “A” shares but not “B” shares, (2) statistically weak linkages between the Chinese markets, (3) a weak causal effect from the Hong Kong to the four Chinese markets, and (4) a strong causal effect from U.S. stock mark to all four Chinese stock markets and the Hong Kong Stock market, particularly during the second period of the sample. These results support the assertion that the Chinese stock markets are becoming more integrated to the global economy.
Download or read book The Weak form Efficiency of Chinese Stock Markets written by Wai Liu and published by . This book was released on 2011 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the unique characteristics of the Chinese stock markets and the defects of previous investigations on the efficiency of the Chinese stock markets, this paper re-examines the weak-form efficiency of the SHSE and SZSE after opening the B-share market to Chinese local investors. Applying four types of random walk test to the thin trading adjusted daily return series over the perios from 1995 to 2009, the present study finds that both the SHSE and SZSE are not weak-form effecient markets, even after correcting the thin trading problem. This is the case simply because the random walk is absent from both stock markets. The efficiency of both stock markets has, however, been improved dramatically by the CSRC's decision to allow Chinese local investors to engage in the B-share markets -- Abstract.
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book The Shanghai Stock Market written by Jung-Lieh Hsiao and published by . This book was released on 1996 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Routledge. This book was released on 2016-10-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.
Download or read book Asia s Stock Markets written by Mr.Fabian Lipinsky and published by International Monetary Fund. This book was released on 2014-02-26 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region’s markets are reputed to be more “idiosyncratic” and less reliant on economic and corporate fundamentals in their pricing. Using a model that draws on international asset pricing and economic theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asia’s stock markets, compared to their G-7 counterparts, beyond the identified systematic factors and local fundamentals. We also show proof of a significant relationship between the strength of implementation of securities regulations and the “noise” in stock pricing, which suggests that improvements in the regulation of securities markets in Asia could enhance the role of stock markets as stable and reliable sources of financing into the future.
Download or read book Efficiency and Volatility Dynamics of Bangladesh s Stock Market written by Md Abu Hasan and published by Cambridge Scholars Publishing. This book was released on 2024-02-06 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
