Empirical Testing for Weak Form Hypothesis of Emerging Capital Markets: A Comparative study of Jordan’s ASE and Turkey’s BORSA IST
Journal Title: International Journal of Empirical Finance - Year 2013, Vol 1, Issue 2
Abstract
The purpose of the study is to empirically test the Weak Efficient Form Hypothesis for two emerging stock markets, which are: Amman Stock Exchange, (ASE) and Turkish Stock Exchange (BORSA Istanbul) through examining their monthly indexes for the period 2000-2011. The study is an empirical test to study the effect of historical information in predicting the future stock prices of the two stock markets. Data used in the empirical analysis were collected from historical records of ASE and BORSA Istanbul markets for the period 2000-2011.Tests used were: Ljung Box Autocorrelation ,Runs , Dickey-Fuller Unit Root , and Individual Variance Ratio tests. The results of the study indicated debatable results. Runs tests have rejected the Random Walk characteristics while Augmented Dickey-Fuller tests have approved that both markets are weak form efficient. Autocorrelation tests have rejected the Random Walk Hypothesis for both markets; However, Variance Ratio tests have revealed mixed results as they approved BORSA Istanbul and rejected ASE as being Weak Form Efficient. Based on these test results, there were not enough evidences to consider ASE and BORSA Istanbul as Weak Form Efficient markets. The data were confined to ASE and BORSA Istanbul only, therefore, researcher is unable to generalize results to all emerging markets as the settings of other countries are questionable; Also it is worth to say that this research opens the door for future research opportunities, which can be done by the following ways: Further testing of other countries' stock markets which will help mitigate the issue of generalizing conclusions on other stock markets. Comparative studies amongst emerging capital markets shall be highly inevitable. This research has offered a significant empirical contribution to the literature regarding the emerging stock market performance and efficiency. The research results might help both academicians and practitioners to be more acquainted by the components of ASE and BORSA Istanbul stock markets to have more insight in other developing markets. The current research may be considered as a pioneer study that highlighted the effect of historical information on future stock prices of two emerging markets. It could be also an initiative study that will generalize this effect on other emerging markets. Finally, the results can provide a reference for further researches about Weak Form Efficiency.
Authors and Affiliations
Abdul Aziz Farid Saymeh
Keywords
Related Articles
- EP ID EP27127
- DOI -
- Views 436
- Downloads 12
A Study on Currency Trading In India-INR Vs USD
A large part of the workforce, and growing every day, is originally from India. India one of the second largest populations in the world, they have a lot to offer in terms of jobs. The sheer number of IT workers makes...
A Study on the Performance of Symmetric and Asymmetric GARCH Models in Estimating Stock Returns Volatility
In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family-type models in estimating stock returns volatility for three Asian markets namely-...
Managing Inflation in Nigeria: Challenges and Prospects
There appears to be a consensus that macroeconomic stability defined as low inflation is negatively related to economic growth. Hence, rapid output growth and low inflation are the most common objectives of macroeconomi...
A Study on Cost of Capital
Cost of capital which is used as a financial standard plays a crucial role in capital budgeting decisions. It is the discount rate applied for evaluating the desirability of investment projects. An investment project ca...
Investigating the Effect of Government Ownership on Return on Asset and Economic Value Added in Listed Companies of Tehran Stock Exchange (TSE)
Formerly, government economy was preferred to non-government economy. However, due to the occurrence of problems such as excessive bureaucracy, poor management system, the lack of a proper assessment system and work mo...