Do capital controls affect stock market efficiency? Lessons from Iceland

Graham, Michael; Peltomäki, Jarkko; Sturludóttir, Hildur

doi:10.1016/j.irfa.2015.05.009

Cited by 16 publications

(7 citation statements)

References 30 publications

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“…Consequently, it is impossible to notice properly if there is an important difference in risk-adjusted returns during crisis and non-crisis periods. On the other hand, Silva and Cortez conducted a thorough analysis of the mentioned above funds, but they use a conditional models of performance evaluation, which is not usual in this kind of studies and has been recently criticized by some authors (Graham, Peltomäki, & Sturludóttir, 2015).…”

Section: Literature Reviewmentioning

confidence: 99%

Do German Green Mutual Funds Perform Better Than Their Peers

Fernandez¹,

Abu-Alkheil²

2019

berj

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Due to current environment awareness, there has been an increase in investment opportunities concerning mutual funds with a focus on environmental issues. This paper analyzes the performance and risk sensitivities of German green mutual funds in comparison with their German socially responsible investment (SRI) and conventional peers. We also evaluate the results of the German green mutual funds in different market conditions. Because of this, we use and compare this performance during three periods, differentiating crises and non-crisis periods. In order to implement this analysis, we apply a CAPM-1 factor and a Carhart 4-factor methodology and find that in the full sample period 2007-2018 period, environmental funds had lower performance than conventional funds and SRI funds with similar characteristics. However, if we focus on crisis and non-crisis periods, the results change. During the financial crisis (2007-2009), green funds achieved adjusted returns slightly better than their peers; in the Eurozone sovereign debt crisis (2010-2012), the results are again similar to the results from the full sample period. And during the non-crisis period, they are not significantly different from conventional mutual funds, but they perform better than SRI mutual funds.

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Section: Literature Reviewmentioning

confidence: 99%

Do German Green Mutual Funds Perform Better Than Their Peers

Fernandez¹,

Abu-Alkheil²

2019

berj

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“…The result rejects existence of the weak-form efficiency in Nigerian capital market. Graham, Peltomaki, and Sturludottir (2015) obtained data for Icelandic stock indices, that is, OMX16 alongside Denmark, Finland, Norway and Sweden stock markets from January 1993 to December 2013 to investigate market inefficiency over different periods of market controls. Utilizing various types of variance ratio tests (Chow-Denning Joint rank and sign variance ratio and Wild Boostrapping variance ratio), they found that Iceland and Finland that operate liberalized stock markets, are not efficiently better than others.…”

Section: Empirical Reviewmentioning

confidence: 99%

On the Efficiency of Stock Markets: A Case of Selected OPEC Member Countries

Olubiyi

Olopade

2019

CBN-JAS

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The study investigates the stock market efficiency of selected OPEC member countries within the context of random walk hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric (variance ratio: homoskedastic and heteroskedastic martingale), nonparametric (the Wright ranks and scores) tests and ARCHtype estimation are performed. Results of both parametric and nonparametric tests indicate that only Qatar's stock market is weak-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should be conscious of these shocks when making risk-return decision of their portfolios; second, the results provide useful information to regulators to enable them develop safeguard mechanisms to shield the market from possible asymmetric information emanating from the participants.

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“…The vast majority of trading (more than 80%) was in bank stocks and other financial institutions. As a result, the market became very monotonous and did not represent the Icelandic economy (Graham, Peltomäki, & Sturludóttir, 2015). The crash of 2008 completely changed the Icelandic market.…”

Section: The Icelandic Stock Marketmentioning

confidence: 99%

Trading Rules on a Small Stock Market

Gunnlaugsson

2018

OJBE

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In this article, the results of an extensive study of the weak form efficiency of the Iceland stock market are presented. This study almost covers the market’s entire history, with the research starting at the beginning of 1993 and ending in July 2017. Four trading rules based on 70-day moving averages were constructed and compared with the passive investment strategy of buying the market index. All of these trading rules provided significantly better returns than the passive strategy, even when considering trading costs. This result indicates that the Icelandic stock market did not show weak form efficiency, and past returns predicted future returns during the period examined.

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Do capital controls affect stock market efficiency? Lessons from Iceland

Cited by 16 publications

References 30 publications

Do German Green Mutual Funds Perform Better Than Their Peers

Do German Green Mutual Funds Perform Better Than Their Peers

On the Efficiency of Stock Markets: A Case of Selected OPEC Member Countries

Trading Rules on a Small Stock Market

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