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Market efficiency in developed and emerging markets

Author

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  • Ankit Sharma
  • Keyur Thaker

Abstract

The weekly and monthly returns of stock indices and portfolios of stock indices were analysed to investigate the weak form of market efficiency in developed and emerging capital markets using standard tests of market efficiency. Our results, based on an analysis of 13 years of data, show mixed results for different indices. However, portfolio returns of developed and emerging markets indicate the absence of market efficiency. Developed markets show inefficiency for monthly returns that is contrary to the conventional perception that developed markets are efficient in comparison to emerging markets owing to their long existence, better maturity, depth and technological development.

Suggested Citation

  • Ankit Sharma & Keyur Thaker, 2015. "Market efficiency in developed and emerging markets," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 5(4), pages 311-333.
    • Handle: RePEc:ids:afasfa:v:5:y:2015:i:4:p:311-333
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    Cited by:

    1. Quynh Trang Phan & Poomthan Rangkakulnuwat, 2022. "How price informativeness affects the sensitivity of investment-to-stock price in Vietnamese listed firms," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 12(1), pages 28-61.

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