This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Efficiency tests in the Iberian stock markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
José Carlos Dias (ISCA Coimbra)
Luís Lopes (ISCA Coimbra)
Vitor Martins (ISCA Coimbra)
José Manuel Benzinho (ISCA Coimbra)

Additional information is available for the following registered author(s):

Abstract

This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to September 2001 for the Spanish stock index. Serial correlations, unit root tests and variance ratio tests are used to test the efficiency of these two stock indexes. Although the complementary of these tests, we used all of them to get a higher robustness of the conclusions. We examined serial correlation coefficients for successive stock index changes to test whether they are statistically equal to zero to establish the random walk nature of stock indexes. The augmented Dickey-Fuller (ADF) test are used to test the null hypothesis that the series has a unit root and the variance ratio tests are used to examine the random walk hypothesis for the series of these two stock indexes. The results of the serial correlations, unit root tests and variance ratio tests provide ambiguous evidence for the random walk hypothesis. The empirical evidence from the unit root tests do not reject the efficient market hypothesis for the two stock indexes, while the results from the variance ratio tests and serial correlations do.

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 file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/fin/papers/0406/0406001.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Finance with number 0406001.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 16 pages
Date of creation: 01 Jun 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0406001

Note: Type of Document - pdf; pages: 16
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: stock indexes market efficiency unit roots

Other versions of this item:

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

This paper has been announced in the following NEP Reports:

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.:
  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July. [Downloadable!] (restricted)
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
  4. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August. [Downloadable!] (restricted)
  5. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February. [Downloadable!] (restricted)
    Other versions:
  6. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April. [Downloadable!] (restricted)
  7. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October. [Downloadable!] (restricted)
    Other versions:
  8. 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, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
    Other versions:
  9. Liu, Christina Y & He, Jia, 1991. " A Variance-Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance, American Finance Association, vol. 46(2), pages 773-85, June. [Downloadable!] (restricted)
  10. 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, vol. 34(2), pages 57-72, May.
  11. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October. [Downloadable!] (restricted)
  12. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178. [Downloadable!] (restricted)
    Other versions:
  13. Lee, Chun I. & Gleason, Kimberly C. & Mathur, Ike, 2000. "Efficiency tests in the French derivatives market," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 787-807, May. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Maria Rosa Borges, 2007. "Random Walk Tests for the Lisbon Stock Market," Working Papers 2007/14, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
Statistics
Access and download statistics

Did you know? No RePEc service, like IDEAS, charges for the use or the display of bibliographic data.

This page was last updated on 2008-8-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.