The hypothesis that stock index returns form a martingale difference sequence (MDS) is tested for 10 European emerging stock markets: the Czech Republic, Estonia, Hungary, Malta, Poland, Russia, the Slovak Republic, Slovenia, Turkey and the Ukraine, using joint variance ratio tests based on signs and the wild bootstrap, for the period beginning in January 1998 and ending in September 2007. For comparative purposes, the same tests are carried out with data for the United Kingdom and the United States. In two of the emerging markets, Poland and Turkey, and the two developed markets, none of the tests rejects the martingale hypothesis. For the stock markets in Malta, the Slovak Republic and Slovenia, all of the evidence finds that stock index returns do not form a martingale difference sequence. The results are discussed in light of stock market characteristics: size, liquidity and the quality of the market are important for MDS returns.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.