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Examining the Efficiency of American Stock Exchange NASDAQ: An empirical analysis of the Market Efficiency Hypothesis

Author

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  • Muhammad Zeeshan Younas

    (School of Economics, Quaid-I-Azam University, Islamabad)

  • Rashid Mehmood

    (Department of Economics, COMSATS University, Islamabad)

Abstract

This research paper is examining the efficiency of the NASDAQ Stock Market via applying the financial economics model Market Efficiency Hypothesis. The study is covering the latest weekly dataset of NASDAQ Stock Market and testing its efficiency after the global financial crisis to date. Our data set consists of the period of Dec 2009 to Dec 2017, and it is retrieved from the Yahoo finance portal. We applied two econometrics techniques to check that whether the stock exchange index is following random walk hypothesis or not. These techniques include autocorrelation test and Runs test. The empirical analysis of our study postulating that the NASDAQ Stock Market of America is not following the random walk hypothesis and investors can achieve the abnormal returns via predicting the future trends based on the previous stock movements.

Suggested Citation

  • Muhammad Zeeshan Younas & Rashid Mehmood, 2018. "Examining the Efficiency of American Stock Exchange NASDAQ: An empirical analysis of the Market Efficiency Hypothesis," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 7(3), pages 132-137, September.
    • Handle: RePEc:rfh:bbejor:v:7:y:2018:i:3:p:132-137
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    References listed on IDEAS

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    Cited by:

    1. Samuel Tabot Enow, 2021. "The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 235-244.

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    More about this item

    Keywords

    NASDAQ Stock Market; Random Walk Hypothesis; Market Efficiency Hypothesis; Runs test;
    All these keywords.

    JEL classification:

    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures
    • D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis

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