An application of variance ratio test to the Korean securities market

Ayadi, O. Felix; Pyun, Chong Soo

doi:10.1016/0378-4266(94)00012-3

Cited by 88 publications

(56 citation statements)

References 14 publications

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“…Recent studies point out diferent techniques to try and solve any mis-assessments. There are studies which show that some markets are ineicient and do not fall under any of the eiciency forms, and the majority of these were observed as to be either developing, emerging or transition economies [15][16][17]. This will be further mentioned in the following section.…”

Section: Ineicient Marketsmentioning

confidence: 91%

“…But what happens if the market is found to be ineicient? This makes markets in emerging economies more atractive as majority of previously conducted research shows that these stock markets do not follow a random walk and are not eicient [15][16][17][18][19][20]. The absence of a random walk will mean the inappropriate pricing of stocks away from the fair value and higher risk.…”

Section: Eicient Market Hypothesismentioning

confidence: 99%

“…But stock markets in Indonesia, Malaysia and the Philippines were found to be ineicient [32]. It is interesting as Korean stock market has been tested for weak form of eiciency by others and found ineicient [15][16][17]. Istanbul Stock Exchange [currently called Borsa Istanbul (BIST)] was tested for the weak form of eiciency by many and was also found both eicient [30,33,34] and ineicient [18][19][20].…”

Section: Financial Management From An Emerging Market Perspectivementioning

confidence: 99%

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Testing the Information Efficiency in Emerging Markets

Aktan¹,

Şahin²,

Küçükkaplan³

2018

Financial Management From an Emerging Market Perspective

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One of the most common issues for investors regarding markets nowadays is to what extent these markets are eicient as all of them aim to increase their gains and beat the market as much as possible. This competition among them will inevitably result in markets becoming eicient and, therefore, prices quickly adjusting to the new coming information. Eventually, investors will most probably receive only a sum that makes up for the risk they took and the time value of money they invested. This is where market eiciency, its theory and forms come into question. There have been many researches conducted assessing the eiciency of diferent markets located throughout the world. However, there are still a lot of gaps in research involving emerging economies which needs to be completed for the sake of investment decisions. Therefore, the purpose of this chapter is to is to show how information eiciency relates to the stock markets of emerging economies, how it implicates investors, analyze the stock prices of 24 emerging economies to look for their weak form eiciency, and to put forward a set of commonalities found in results of literature relating to emerging market information eiciency.

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Section: Ineicient Marketsmentioning

confidence: 91%

Section: Eicient Market Hypothesismentioning

confidence: 99%

Section: Financial Management From An Emerging Market Perspectivementioning

confidence: 99%

See 1 more Smart Citation

Testing the Information Efficiency in Emerging Markets

Aktan¹,

Şahin²,

Küçükkaplan³

2018

Financial Management From an Emerging Market Perspective

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show abstract

“…In order to overcome the deficiency in LMVR, recent studies employ Chow and Denning (1993) multiple variance ratios test along with other tests. The studies of Ayadi and Pyun (1994) for Korea and Worthington and Higgs (2003) for Latin America report dependencies in returns. Huber (1995) examines the Vienna stock exchange and concludes that random walk is rejected at highly significant level for daily returns in Vienna.…”

Section: Darant and Zhongmentioning

confidence: 99%

Some Further Evidence on the Behaviour of Stock Returns in India

Hiremath¹,

Kamaiah²

2010

IJEF

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This paper examines the stock return behaviour in two premier Indian stock markets using Chow-Denning multiple variance ratio and Hinich bicorrelation tests. The former test overcomes size distortion of conventional variance ratio test. The latter test is capable of detecting linear and non-linear dependencies. The study is based on 14 indices relating to the National Stock Exchange (NSE) and Bombay Stock Exchange (BSE), and relates to the period 02/06/1997 to 30/01/2009. The Chow-Denning test rejects the null of random walk for six indices. The Hinich test rejects the null of pure white noise for full sample period. However, the windowed test results of Hinich show that the serial dependencies are not consistent across the sample period for all indices. This indicates presence of episodic dependencies in stock returns surrounded by long periods of pure noise.

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“…While the weak-form market efficiency of the major developed and emerging stock markets of Latin America, Eastern Europe, and Asia have been the major focus of researchers in the past (Ayadi and Pyun, 1994;Claessens et al, 1995;Urrutia, 1995;Fifield et al, 2002Fifield et al, , 2005, the weak-form hypothesis has received little attention from researchers in Africa. None of the few existing studies provides a continent-wide analysis.…”

Section: Introductionmentioning

confidence: 99%

Testing the weak‐form efficiency in African stock markets

et al. 2011

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Purpose -The purpose of this study is to investigate the weak-form efficiency of a set of 24 specially constructed African continent-wide stock markets indices and those of 8 individual African national stock markets indices.Design/methodology/approach -The study uses conventional variance-ratio tests in addition to tests based on ranks and signs to examine the weak-form efficiency of the index series used in the study.Findings -On average, we find that irrespective of the test employed, the returns of all the 24 African continent-wide indices examined in the study appear to be more normally distributed compared to the 8 individual national stock price indices examined. We report evidence of statistically significant weak-form informational efficiency in the African continent-wide stock indices over the individual national stock indices irrespective of the test statistic used. Practical implications -The policy implication of this evidence is that African stockmarkets sector returns distributional properties may significantly be improved if the continental market operations can be harmonised and integrated. Economically, this can lead to more efficient allocation of capital and risk, which is expected to be a catalyst for economic growth.Originality/value -The study makes two major contributions to the extant literature.Firstly, since it is still unclear whether existing African stock markets can improve their informational efficiency by harmonising and integrating their current operations, this study fills this gap by providing tentative evidence. Secondly, we offer for the first time a comparative analysis of the informational efficiencies of a sample of national stock indices as against African continent-wide constructed stock price indices.

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An application of variance ratio test to the Korean securities market

Cited by 88 publications

References 14 publications

Testing the Information Efficiency in Emerging Markets

Testing the Information Efficiency in Emerging Markets

Some Further Evidence on the Behaviour of Stock Returns in India

Testing the weak‐form efficiency in African stock markets

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