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

Martingales in European emerging stock markets: Size, liquidity and market quality

Contents:

Author Info

  • Graham Smith
Registered author(s):

    Abstract

    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

    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://www.tandfonline.com/doi/abs/10.1080/13518470802423262
    Download Restriction: Access to full text is restricted to subscribers.

    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.

    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

    Volume (Year): 15 (2009)
    Issue (Month): 3 ()
    Pages: 249-262

    as in new window
    Handle: RePEc:taf:eurjfi:v:15:y:2009:i:3:p:249-262

    Contact details of provider:
    Web page: http://www.tandfonline.com/REJF20

    Order Information:
    Web: http://www.tandfonline.com/pricing/journal/REJF20

    Related research

    Keywords: European stock markets; capitalisation; conditional heteroscedasticity; liquidity; market quality; martingale; variance ratio test; wild bootstrap;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

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

    Cited by:
    1. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," 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, vol. 4(1), pages 045-053, June.
    2. Ana Rita Gonzaga & Helder Sebastião, 2011. "As Ações Portuguesas Seguem um Random Walk? Implicações para a Eficiência de Mercado e para a Definição de Estratégias de Transação," GEMF Working Papers 2012-02, GEMF - Faculdade de Economia, Universidade de Coimbra.
    3. Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.
    4. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.

    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:taf:eurjfi:v:15:y:2009:i:3:p:249-262. 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: (Michael McNulty).

    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.