期刊名称：European Journal of Business and Social Sciences
印刷版ISSN：2235-767X
出版年度：2013
卷号：2
期号：9
页码：176-185
出版社：European Society of Business and Social Sciences
摘要：The theoretical models of Efficient Market Hypothesis (EMH) imply that the future price of a stock is unpredictable with respect to currently available information. In this study, the weak form efficiency of the Finnish and Swedish stock markets has been investigated by employing a serial correlation test, an Augmented Dickey-Fuller test and a variance ratio test proposed by Lo and Mckinlay (1988) for the hypothesis that the Finnish and Swedish stock market indices follow a random walk. The tests are performed using ten years’ daily the OMX Helsinki and OMX Stockholm indices data from 2003 to 2012. Daily returns are found to violate the assumption of normal distribution. Overall, the results conclude that daily prices and returns do not follow random walks in any of the two countries. This implies that both the Finnish and Swedish stock markets are not weak form efficient.
关键词：Efficient Market Hypothesis; Variance ratio test; Unit;root test; Serial correlation test.
