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Revisiting the efficient market hypothesis in transition countries using quantile unit root test

Author

Listed:
  • Mohsen Bahmani-Oskooee

    (University of Wisconsin-Milwaukee)

  • Tsangyao Chang

    (Feng Chia University, TAIWAN)

  • Tsung-hsien Chen

    (Chaoyang University of Technology, TAIWAN)

  • Han-wen Tzeng

    (Overseas Chinese University, TAIWAN)

Abstract

In this paper we test the weak form of the efficient-market hypothesis (EMH) using weekly data of stock prices from eight transition markets during the period 2000–2015. This is accomplished by using quantile unit root test. Our empirical results indicate that the stock markets are efficient in the weak form for most of the markets, except for Bulgaria, Romania, and Russia. The results imply that in many of these countries one cannot enjoy excess returns to their investment.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Tsangyao Chang & Tsung-hsien Chen & Han-wen Tzeng, 2016. "Revisiting the efficient market hypothesis in transition countries using quantile unit root test," Economics Bulletin, AccessEcon, vol. 36(4), pages 2171-2182.
    • Handle: RePEc:ebl:ecbull:eb-16-00147
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    References listed on IDEAS

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    3. Mohsen Bahmani-Oskooee & Omid Ranjbar, 2016. "Quantile unit root test and PPP: evidence from 23 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 48(31), pages 2899-2911, July.
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    6. Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
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    Cited by:

    1. neifar, malika, 2020. "Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎," MPRA Paper 103232, University Library of Munich, Germany.
    2. Jitka Veselá & Alžběta Zíková, 2022. "Are the Czech, Polish, German and Dutch markets taking a random walk? [Konají český, polský, německý a nizozemský trh náhodnou procházku?]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2022(2), pages 19-38.
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    4. Mohsen Bahmani‐Oskooee & Tsangyao Chang & Zahra (Mila) Elmi & Omid Ranjbar, 2019. "Real Interest Rate Parity And Fourier Quantile Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 348-358, July.

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    More about this item

    Keywords

    Efficient Market Hypothesis; Transition Stock Markets; Quantile Unit Root Test;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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