Market Development and Efficiency in Emerging Stock Markets
نویسنده
چکیده
In 1990’s emerging stock markets evolved from small, shallow, speculative markets into sizeable and liquid markets. If there is any relationship between market development and efficiency, it must show up in market efficiency tests over time. This conjecture is analyzed empirically, applying joint variance ratio (VR) test on weekly real Wednesday and Friday returns for 18 emerging stock markets over the 1988-98 period. For each country, we apply the joint VR test to sub-sample windows with end-point fixed while starting-point is allowed to move forward. In those markets that showed rapid development, it becomes rather difficult to reject the random walk hypothesis as observations pertaining to earlier periods are dropped from the sample. JEL classification: G14, G15.
منابع مشابه
Investigation of the market efficiency of emerging stock markets in the East-European region
The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and forecasting possibili...
متن کاملLong Memory in Stock Returns: A Study of Emerging Markets
The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...
متن کاملThe Influence of Agency Costs on Dividend Policy in an Emerging Market: Evidence from the Tehran Stock Exchange
Dividend policy has long been an issue of interest in the financial literature. To date, a number of studies published on agency costs and dividend policy but most of them are on developed markets, It is well known that the emerging markets are quite different from developed markets in all respects. So, the existing published evidence is of limited relevance in identifying the influence of agen...
متن کاملMarket Development and Efficiency in Emerging Stock Markets
In 1990s emerging stock markets evolved from small and shallow into sizeable and liquid markets integrated with the world financial system. This paper empirically studies the conjecture that the relationship between market development and efficiency can be possibly captured by the weak-form market efficiency tests applied to moving subsample windows. The variance-ratio-based multiple comparison...
متن کاملInvestigating Some of Effective Factors on Spoofing Manipulation in Iranian Stock Market
Objective: There is a large theoretical literature regarding stock market manipulation. However, empirical evidence of manipulation remains scare especially in emerging markets like Iran. So, it is vital to detect and prevent. Manipulation distorts prices, thereby reducing market efficiency and harms public confidence. Distorted prices increase market volatility and risk. This study empirically...
متن کامل