Cointegration and market efficiency

Dwyer, Gerald P.; Wallace, Myles S.

doi:10.1016/0261-5606(92)90027-u

Cited by 204 publications

(94 citation statements)

References 12 publications

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“…This observation confirms Dwyer and Wallace's (1992) statement that strong market co-movement does not imply cross-market inefficiency.…”

Section: Resultssupporting

confidence: 79%

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Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency

Zhang¹

2012

SSRN Journal

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This study examines the effects of changes in stock market microstructure on internal market efficiency and explores the relations among internal market efficiency, market co-movement and cross-market efficiency using evidence from Shanghai and Hong Kong stock exchanges. The results show that changes in the market microstructure have significant effects on the internal market efficiencies of the two markets. Second, the developed market (Hong Kong stock exchange) is not always more efficient than the emerging market (Shanghai stock exchange). Third, the cross-market efficiency is only affected by the internal market efficiency of the emerging market during normal economic conditions, but is determined by the internal market efficiency of the emerging market and the market co-movement during the financial crisis period. Finally, this study confirms Dwyer and Wallace's (1992) statement that strong market co-movement does not imply cross-market inefficiency.

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“…This observation confirms Dwyer and Wallace's (1992) statement that strong market co-movement does not imply cross-market inefficiency.…”

Section: Resultssupporting

confidence: 79%

“…However, these studies are based on index option markets or exchange rate markets and do not make the distinction between market co-movement and cross-market inefficiency. Following Dwyer and Wallace (1992), this study predicts that a strong market co-movement does not imply cross-market inefficiency.…”

Section: Introductionmentioning

confidence: 99%

Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency

Zhang¹

2012

SSRN Journal

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“…where is the rate of return of an index at time t. This form entails that = 0, i > 0 and this equation can be run using OLS or GLM with relevant tests (Dwyer & Wallace, 1992). …”

Section: Introductionmentioning

confidence: 99%

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Akber

Muhammad

2013

SSRN Journal

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In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups : 1992-2012, 1992-1994, 1995-1997, 1998-2000, 2001-2003, 2004-2006, 2007-2009, 2010-2012 and 2013. The paper has made use of both NonParametric tests (Kolmogrov-Smirnov goodness of fitness test, Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey-fuller test, Dickey-fuller GLS test, Jarque-Bera test, Kwiatkowski, Phillips, Schmidt and Shin test, Auto-regression and ARIMA model). For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weakform efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has found to be weak-form inefficient, but the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index.

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“…At the same time, Baillie and Bollerslev (1994) claim that the market is able to be cointegrated because exchange rates are linked through a long memory I(d) process in which "d" represents between 0 and 1 (called fractional integration). Dwyer and Wallace (1992) apply cointegration under a pegged exchange rate regime. They argue that exchange rates under pegged regimes are cointegrated regardless of market efficiency.…”

Section: Prior Literature On the Efficiency Of The Foreign Exchange Mmentioning

confidence: 99%

The US Financial Crisis and the Behavior of the Foreign Exchange Market

Padungsaksawasdi¹

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Cointegration and market efficiency

Cited by 204 publications

References 12 publications

Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency

Role of Market Microstructure in the Relationship between Market Co-Movement and Market Efficiency

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

The US Financial Crisis and the Behavior of the Foreign Exchange Market

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