Testing Efficiency Performance of an Underdeveloped Stock Market

Onour, Ibrahim (2007): Testing Efficiency Performance of an Underdeveloped Stock Market.

Abstract

Market inefficiency has influence on resource allocation, as price signals tend systematically understate or overstate the effects of information transmitted to the trading parties in the market. In this paper a number of statistical tests employed to assess the weak-form efficiency of Khartoum Stock Exchange (KSE) market. The finding of the paper indicates the inefficiency hypothesis cannot be rejected

• Item Type: MPRA Paper
• Language: English
• Keywords: efficiency, unit root, volatility
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

References

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