Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets
Guidi, Francesco, Gupta, Rakesh and Maheshwari, Suneel (2011) Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets. Journal of Emerging Market Finance, 10 (3). pp. 337-389. ISSN 0972-6527 (Print), 0973-0710 (Online) (doi:10.1177/097265271101000304)Full text not available from this repository.
In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis, runs test and variance ratio test. We find that stock markets of the CEE do not follow a random walk process. THis is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more advanced Generalised Autoregressive Conditional Heteroscedasticity in Mean ((GARCH-M) model. Results indicate that day-of-the-week effect is not evident in most of markets except for some. Overall results indicate that some of these markets are not weak and an efficient and informed investor can make abnormal profits by studying the past prices of these assets in these markets.
|Additional Information:|| First published online: 4 November 2011.  Published in print: December 2011.  Published as: Journal of Emerging Market Finance, (2011), Vol. 10, (3), pp. 337-389.  The Journal of Emerging Market Finance is published by SAGE Publications on behalf of the Institute for Financial Management and Research IFMR, Chennai, India.|
|Uncontrolled Keywords:||emerging stock markets, day-of-the-week effect, market efficiency, variance ratio test, GARCH-M|
|Subjects:||H Social Sciences > HB Economic Theory|
|Faculty / Department / Research Groups:||Faculty of Business > Department of International Business & Economics
Faculty of Business > Greenwich Political Economy Research Centre (GPERC)
|Last Modified:||02 Nov 2016 13:52|
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