Are Asian stock markets efficient? Evidence from new multiple variance ratio tests

Kim, Jaehwan; Shamsuddin, Abul

doi:10.1016/j.jempfin.2007.07.001

Cited by 232 publications

(215 citation statements)

References 46 publications

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“…In general, stock markets in the less developed countries (e.g., Sri Lanka, Indonesia and the Philippines) are less efficient than those from higher income countries. Kim and Shamsuddin (2008) report similar findings in their investigation of the weak-form efficiency of Asian stock markets using the VR test.…”

supporting

confidence: 67%

Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Kim¹,

Doucouliagos

Stanley

2014

SSRN Journal

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supporting

confidence: 67%

Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Kim¹,

Doucouliagos

Stanley

2014

SSRN Journal

Self Cite

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“…In addition, Lim (2008) shows that the Asian crisis had a negative impact on the Malaysian stock market in seven out of its eight economic sectors. Kim and Shamsuddin (2008) employ a multiple variance ratio test to demonstrate that the stock markets in Hong Kong, Japan, Korea, and Taiwan are efficient in the weak form, while the markets of Indonesia, Malaysia, and the Philippines are not efficient. They also find that both the Singapore and the Thai markets become efficient after the 1997 Asian crisis.…”

Section: Literature Reviewmentioning

confidence: 99%

Could the global financial crisis improve the performance of the G7 stocks markets?

2015

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Financial crises are normally associated with negative effects on financial markets.In this paper, we investigate whether the most recent Global Financial Crisis (GFC) had any positive impact on the G7 (Canada, France, Germany, Italy, Japan, the United Kingdom and the United States) indices. We carry out our investigation by employing mean-variance (MV) analysis, CAPM statistics, a runs test, a multiple variation ratio test, and stochastic dominance (SD) tests. Our MV and CAPM results conclude that most of the G7 stock indices are significantly less volatile and have a higher beta, higher Sharpe ratios and a higher Treynor's index after the GFC. Run tests and multiple variation ratio results confirm that efficiency improved in the post-GFC period. Finally, SD results conclude that there is no arbitrage opportunity and the markets are efficient due to the GFC, and, in general, investors prefer investing in the indices after the GFC. Overall, we conclude that the GFC led to markets that are more efficient and mature, confirming that crises can also have positive impacts on stock markets.

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“…Second, the weak form of the EMH is evaluated from an alternative method relative to the previous studies, namely the variance-ratio [VR] tests which are widely used in financial empirical studies (e.g., Lagoarde-Segot and Lucey, 2007; Kim and Shamsuddin, 2008) 3 . More precisely, we adopt individual non-parametric VR tests suggested by Wright (2000) as well as its multiple version proposed by Belaire-Franch and Contreras (2004).…”

Section: Introductionmentioning

confidence: 99%

The efficiency of the crude oil markets: Evidence from variance ratio tests

Charles

Darné

2009

Energy Policy

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This study examines the random walk hypothesis for the crude oil markets, using daily data over the period . The weak-form efficient market hypothesis for two oil crude markets (UK Brent and US West Texas Intermediate) is tested with non-parametric variance ratio tests developed by Wright (2000) and Belaire-Franch and Contreras (2004) as well as the wild-bootstrap variance ratio tests suggested by Kim (2006). We find that the Brent crude oil market is weak-form efficiency while the WTI crude oil market seems to be inefficiency on the 1994-2008 sub-period, suggesting that the deregulation have not improved the efficiency on the WTI crude oil market in the sense of making returns less predictable.

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Are Asian stock markets efficient? Evidence from new multiple variance ratio tests

Cited by 232 publications

References 46 publications

Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Could the global financial crisis improve the performance of the G7 stocks markets?

The efficiency of the crude oil markets: Evidence from variance ratio tests

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