Show simple item record

dc.contributor.authorWorthington, Andrew C.
dc.contributor.authorHiggs, Helen
dc.date.accessioned2018-07-24T03:50:36Z
dc.date.available2018-07-24T03:50:36Z
dc.date.issued2004
dc.date.modified2014-07-28T06:49:54Z
dc.identifier.issn09729496
dc.identifier.urihttp://hdl.handle.net/10072/24410
dc.description.abstractThis paper tests for random walks and weak-form market efficiency in European equity markets. Daily returns for sixteen developed markets (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom) and four emerging markets (Czech Republic, Hungary, Poland and Russia) are examined for random walks using a combination of 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 (MVR) tests. The results, which are in broad agreement across the approaches employed, indicate that of the emerging markets only Hungary is characterized by a random walk and hence is weak-form efficient, while in the developed markets only Germany, Ireland, Portugal, Sweden and the United Kingdom comply with the most stringent random walk criteria.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherResearch India Publications
dc.publisher.placeNew Delhi
dc.publisher.urihttp://www.serialsjournals.com/journal-detail.php?journals_id=51
dc.relation.ispartofpagefrom59
dc.relation.ispartofpageto78
dc.relation.ispartofissue1
dc.relation.ispartofjournalGlobal Journal of Finance and Economics
dc.relation.ispartofvolume1
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.titleRandom walks and market efficiency in European equity markets
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2004
gro.hasfulltextNo Full Text
gro.griffith.authorWorthington, Andrew C.


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