Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎

neifar, malika (2020): Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎.

Abstract

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data of stock prices for the period from 2010M01 to 2019M07 for seven markets (Tunindex) ‎in Tunisia and 6 Asian countries : Saudi Arabia (TSAI), Japon (Nikkei 225), China (SSEC), ‎Turkey (BIST100), India (BSE30), and Indonesia (JKSE) by using linear and nonlinear (KSS ‎and Modified KSS) unit root tests. Our empirical results indicate that the stock markets are ‎efficient [not efficient] in the weak form of EMH in Tunisia and Saudi Arabia [Japan, ‎Turkey, India, Indonesia, and China]. The major policy implications is that in these five ‎countries (Japan, Turkey, India, Indonesia, and China), fund managers and investors can ‎enjoy excess returns to their investment. ‎

• Item Type: MPRA Paper
• Language: English
• Keywords: Efficient-Market Hypothesis (EMH); BDS test; Linear Unit root test; Nonlinear Unit root test, ‎Tunisia and 6 Asian countries
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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