Advanced Search
MyIDEAS: Login to save this article or follow this journal

Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets

Contents:

Author Info

  • Francesco Guidi

    (International Business and Economics, University of Greenwich, London SE10 9LS. E-mail: f.guidi@gre.ac.uk)

  • Rakesh Gupta

    (Finance and Economics, Griffith Business School, Griffith University, Nathan Campus QLD 4111, Australia. E-mail: r.gupta@griffith.edu.au)

  • Suneel Maheshwari

    (Legal Environment, Marshall University, Huntington, WV, USA. E-mail: Maheshwari@marshall.edu)

Abstract

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 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 the assets in these markets.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://emf.sagepub.com/content/10/3/337.abstract
Download Restriction: no

Bibliographic Info

Article provided by Institute for Financial Management and Research in its journal Journal of Emerging Market Finance.

Volume (Year): 10 (2011)
Issue (Month): 3 (December)
Pages: 337-389

as in new window
Handle: RePEc:sae:emffin:v:10:y:2011:i:3:p:337-389

Contact details of provider:
Web page: http://www.ifmr.ac.in

Related research

Keywords: JEL Classification: G12; JEL Classification: G14; JEL Classification: G22; Emerging stock markets; day-of-the-week effect; market efficiency; variance ratio test; GARCH-M;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ojah, Kalu & Karemera, David, 1999. "Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 34(2), pages 57-72, May.
  2. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 591-601, July.
  3. Andrew C. Worthington & Helen Higgs, 2003. "Tests of random walks and market efficiency in Latin American stock markets: An empirical note," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 157, School of Economics and Finance, Queensland University of Technology.
  4. Guntram Wolff, 2007. "Foreign Direct Investment in the Enlarged EU: Do Taxes Matter and to What Extent?," Open Economies Review, Springer, Springer, vol. 18(3), pages 327-346, July.
  5. Jean-François Nivet, 1997. "Stock markets in transition: the Warsaw experiment," The Economics of Transition, The European Bank for Reconstruction and Development, The European Bank for Reconstruction and Development, vol. 5(1), pages 171-183, 05.
  6. Taufiq Choudhry, 2000. "Day of the week effect in emerging Asian stock markets: evidence from the GARCH model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 235-242.
  7. Kaushik Bhattacharya & Nityananda Sarkar & Debabrata Mukhopadhyay, 2003. "Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(8), pages 553-563.
  8. Asma Mobarek & A. Sabur Mollah & Rafiqul Bhuyan, 2008. "Market Efficiency in Emerging Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, Institute for Financial Management and Research, vol. 7(1), pages 17-41, January.
  9. R. Golinelli & R. Orsi, 2001. "Hungary and Poland," Working Papers 424, Dipartimento Scienze Economiche, Universita' di Bologna.
  10. Nabeel Al-Loughani & David Chappell, 2001. "Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(4), pages 353-359.
  11. Kuo-Ping Chang & Kuo-Shiuan Ting, 2000. "A variance ratio test of the random walk hypothesis for Taiwan's stock market," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(5), pages 525-532.
  12. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  13. Carstensen, Kai & Toubal, Farid, 2004. "Foreign direct investment in Central and Eastern European countries: a dynamic panel analysis," Journal of Comparative Economics, Elsevier, vol. 32(1), pages 3-22, March.
  14. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(1), pages 1-9, January.
  15. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
  16. Jorge L. Urrutia, 1995. "Tests Of Random Walk And Market Efficiency For Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, 09.
  17. Chun, Rodney M., 2000. "Compensation vouchers and equity markets: Evidence from Hungary," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(7), pages 1155-1178, July.
  18. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 55-69, March.
  19. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
  20. Grieb, Terrance & Reyes, Mario G, 1999. "Random Walk Tests for Latin American Equity Indexes and Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-83, Winter.
  21. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
  22. Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance, EconWPA 0512028, EconWPA.
  23. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  24. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(3), pages 518-532, June.
  25. Abraham Abraham, 2002. "Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 37(3), pages 469-480, 08.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Dragos Stefan Oprea & Elena Valentina Tilica, 2014. "Day-of-the-Week Effect in Post-Communist East European Stock Markets," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(3), pages 119-129, July.
  2. Joanna Olbrys & Elzbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 51-70.
  3. Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
  4. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
  5. Priit Sander & Risto Veiderpass, 2012. "Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 145-154, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:sae:emffin:v:10:y:2011:i:3:p:337-389. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (SAGE Publications).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.