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The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries

Author

Listed:
  • Aycan HEPSAG
  • Burcay YASAR AKCALI

Abstract

The goal of this paper is to investigate the weak form efficiency of the stock markets of G-7 and E-7 countries within the framework of Efficient Market Hypothesis. Towards to the goal of paper, we test whether the stock market indices of G-7 and E-7 countries follow random walk or not, using asymmetric nonlinear unit root test. The empirical findings show that the stock markets of France, Italy, Japan and the USA have weak-form efficiency, but the stock markets of Canada, Germany and the UK are not weak form efficient. The empirical results also show that the stock markets of Brazil, China, India, Indonesia, Mexico and Turkey have weak form efficiency, but the stock market of Russia is not weak form efficient. Besides, the inefficient stock markets which of Canada, Germany, Russia and the UK response in the same way to positive and negative deviations of the same proportionate amount.

Suggested Citation

  • Aycan HEPSAG & Burcay YASAR AKCALI, 2015. "The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 9(2), pages 73-90.
    • Handle: RePEc:bdd:journl:v:9:y:2015:i:2:p:73-90
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    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiEn/dergi_0018_05.pdf
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    Cited by:

    1. Erdas Mehmet Levent, 2019. "Validity of Weak-Form Market Efficiency in Central and Eastern European Countries (CEECs): Evidence from Linear and Nonlinear Unit Root Tests," Review of Economic Perspectives, Sciendo, vol. 19(4), pages 399-428, December.

    More about this item

    Keywords

    Efficient Market Hypothesis; Asymmetric Nonlinear Unit Root Test; G-7 and E-7 Countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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