Show simple item record

dc.contributor.authorWorthington, Andrew C.
dc.contributor.authorHiggs, Helen
dc.contributor.editorKookshin Ahn
dc.date.accessioned2006-09-12
dc.date.accessioned2017-03-01T20:00:28Z
dc.date.available2017-03-01T20:00:28Z
dc.date.issued2006
dc.date.modified2009-09-22T05:48:08Z
dc.identifier.issn0254-8372
dc.identifier.urihttp://hdl.handle.net/10072/13981.1
dc.description.abstractThis paper examines the weak-form market efficiency of twenty-seven emerging markets. The sample encompasses three markets in Africa (Egypt, Morocco and South Africa), ten in Asia (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand), four in Europe (Czech Republic, Hungary, Poland and Russia), seven in Latin America (Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela) and three in the Middle East (Israel, Jordan and Turkey). Daily market returns are tested for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests and multiple variance ratio tests. The serial correlation and runs tests conclude that most emerging markets are weak-form inefficient. However, the unit root tests suggest the presence of weak-form efficiency in many emerging markets, but with some exceptions. The results from the most stringent multiple variance ratio tests are in general agreement with the serial correlation and runs tests. On this basis, only Hungary, Jordan and Israel are weak-form market efficient, with Egypt, Korea, Malaysia and Argentina meeting at least some of the requirements of a random walk.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent60218 bytes
dc.format.extent906080 bytes
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.language.isoen_AU
dc.publisherChung-Ang University
dc.publisher.placeKorea
dc.publisher.urihttp://www.jed.or.kr/
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom17
dc.relation.ispartofpageto44
dc.relation.ispartofedition2006
dc.relation.ispartofissue1
dc.relation.ispartofjournalJournal of Economic Development
dc.relation.ispartofvolume31
dc.rights.retentionY
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchcode1402
dc.titleEvaluating financial development in emerging capital markets with efficiency benchmarks
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codec1
gro.facultyGriffith Business School
gro.rights.copyrightCopyright 2006 The Economic Research Institute of Chung-Ang University. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher.
gro.date.issued2006
gro.hasfulltextNo Full Text
gro.griffith.authorHiggs, Helen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record