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  • 标题:An Empirical Study on Weak-Form of Market Efficiency of Selected Asian Stock Markets
  • 本地全文:下载
  • 作者:Nikunj R. Patel ; Nitesh Radadia ; Juhi Dhawan
  • 期刊名称:Journal of Applied Finance and Banking
  • 印刷版ISSN:1792-6580
  • 电子版ISSN:1792-6599
  • 出版年度:2012
  • 卷号:2
  • 期号:2
  • 出版社:Scienpress Ltd
  • 摘要:

    The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and have applied various test like Runs Test, Unit Root Test, Variance Ratio, Auto Correlation and other test. BSE Sensex has given the highest mean returns to the investor followed by SSE Composite and HANGSENG. BSE Sensex could be considered as high risk markets as it has reported the highest Standard Deviation. During the period BSE Sensex, HANGSENG and SSE Composite markets showed positive average daily returns except NIKKEI. The Runs Test indicated BSE Sensex and NIKKEI markets are weak form inefficient whereas HANSENG and SSE Composite hold weak form of efficiency. The time series for the full as well as sample period did not have a presence of unit root in the markets understudy. According to Auto correlation test it is inferred that the equity markets of the Asian region under the study remained inefficient for some lag whereas they were efficient for the other lag.

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