Omay, Nazli C. and Karadagli, Ece C. (2010): Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach.
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In this paper, we address weak form stock market efficiency of Emerging Economies, by testing whether the price series of these markets contain unit root. Nonlinear behavior of stock prices is well documented in the literature, and thus linear unit root tests may not be appropriate in this case. For this purpose, we employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and nonlinear panel unit root test Ucar and Omay (2009) that has a better power than standard unit root tests when series under consideration are characterized by a slower speed of mean reversion. Large power gains are achieved through combining cross-sectional information and nonlinear estimation techniques in computing unit root tests. The results of ADF and PP indicate that Bulgarian, Greek, Hungarian, Polish, Romanian, Russian, Slovenian and Turkish stock markets are weak form efficient, while the results of nonlinear unit root test implies that Russian, Romanian and Polish stock markets are not weak form efficient. Moreover, the linear panel unit root test suggest that this group as all efficient where as nonlinear panel unit root test suggest as a group they are not efficient.
|Item Type:||MPRA Paper|
|Original Title:||Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach|
|English Title:||Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach|
|Keywords:||Keywords: Linear and Nonlinear Unit root and Panel Unit Root, Emerging Markets, Market Efficiency|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Nazli Omay|
|Date Deposited:||15. Dec 2010 01:32|
|Last Modified:||12. Feb 2013 10:17|
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