Examining the first stages of market performance: a test for evolving market efficiency

Zalewska, Anna; Hall, Stephen G.

doi:10.1016/s0165-1765(99)00074-9

Cited by 74 publications

(49 citation statements)

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“…To overcome these problems, a new stand of research has developed since Emerson et al (1997) and Zalewska-Mitura and Hall (1999) examine the evolution of the efficiency of stock exchanges over time rather than assessing it at a given point of time. Thus, Emerson et al (1997), Zalewska-Mitura andHall (1999), Urga (2000, 2001), Hall and Urga (2002), Harrison and Paton (2004) and Posta (2008) revisited the weak-form efficiency of many European transition stock exchanges by using a GARCH-M (1,1) model of the daily index returns volatility as well as a Kalman filter state-space in estimating the time-varying dependency of the daily returns on their lagged values.…”

Section: Contents Lists Available At Sciencedirectmentioning

confidence: 99%

“…Thus, Emerson et al (1997), Zalewska-Mitura andHall (1999), Urga (2000, 2001), Hall and Urga (2002), Harrison and Paton (2004) and Posta (2008) revisited the weak-form efficiency of many European transition stock exchanges by using a GARCH-M (1,1) model of the daily index returns volatility as well as a Kalman filter state-space in estimating the time-varying dependency of the daily returns on their lagged values. This time-varying dependency is expected to become more stable and infinitely small if the market moves towards more efficiency.…”

Section: Contents Lists Available At Sciencedirectmentioning

confidence: 99%

“…Therefore, the paper follows the Emerson et al (1997) and Zalewska-Mitura and Hall (1999) methodology in order to investigate the dynamics of their weak-form efficiency/inefficiency rather than taking a snap shot of it at a given point of time. To this end we use daily data of 11 Arab stock markets that cover a wide time period up to March 2009, allowing us to test for the impact of the many organizational reforms undertaken by the authorities during the last decade.…”

Section: Contents Lists Available At Sciencedirectmentioning

confidence: 99%

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Testing the evolving efficiency of Arab stock markets

Abdmoulah¹

2010

International Review of Financial Analysis

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JEL classification: C5 G1Keywords: GARCH-M (1,1) Kalman filter Evolving Efficiency Test Arab stock markets Our goal is to examine whether Arab stock markets are becoming more efficient during the last decade thanks to organizational improvements and agents' learning. To achieve this goal a test of evolving weakform efficiency using GARCH-M (1,1) approach along with state-space time-varying parameters is implemented for 11 Arab stock markets for periods ending in March 2009, rather than studying their efficiency/inefficiency at a given point of time as commonly done. All markets show high sensitivity to the past shocks and are found to be weak-form inefficient. Moreover, the efficiency does not clearly improve towards the first quarter of 2009 and negatively reacts to contemporaneous crises, except temporary subperiods of efficiency improvement for the largest markets. This contrasts with mature markets and reveals the ineffectiveness of the reforms so far undertaken and calls to intensify efforts to expand and deepen these markets besides improving their liquidity and transparency and counteracting the shortcomings of the large individual trading by enhancing investment culture and spreading institutional trading.

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Section: Contents Lists Available At Sciencedirectmentioning

confidence: 99%

Section: Contents Lists Available At Sciencedirectmentioning

confidence: 99%

Section: Contents Lists Available At Sciencedirectmentioning

confidence: 99%

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Testing the evolving efficiency of Arab stock markets

Abdmoulah¹

2010

International Review of Financial Analysis

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“…In addition, the model is general in the sense that it contains the case of a constant parameter model when ) (k i V does not fluctuate over time. In the literature, Zalewska-Mitura and Hall (1999) show that, within the Kalman filter framework, the model is powerful enough to effi-ciently detect changes in time-varying degrees of market efficiency, except for the first few observations. This empirical method has been applied to assess the ongoing informational efficiency in some emerging and frontier-emerging equity markets (see, e.g., Rockinger and Urga, 2000;Jefferis and Smith, 2005;Fontaine and Nguyen, 2006).…”

Section: A State Space Model For Time-varying Predictabilitymentioning

confidence: 99%

Time-varying predictability in crude-oil markets: the case of GCC countries

2010

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This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period 1997-2008. Using data from four countries of the Gulf Cooperation Council, we find evidence of short-term predictability in oil-price changes over time, except for several short sub-periods. However, the hypothesis of convergence towards weak-form informational efficiency is rejected for all markets. In addition, we explore the possibility of structural breaks in the time-paths of the estimated predictability indices and detect only one breakpoint, for the oil markets in Qatar and United Arab Emirates. Our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil-price changes.

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“…To measure return predictability, we used a time-varying parameter model similar to the models that Zalewska-Mitura and Hall (1999) and Urga (2000, 2001) have recently developed. The time-varying parameter model we estimated has the following form:…”

Section: The Empirical Modelmentioning

confidence: 99%

Sources of Predictability of European Stock Markets for High-technology Firms

Pierdzioch

Schertler

2007

The European Journal of Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in ______________________________________________________________________ AbstractWe study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no evidence for return predictability of stock indexes of blue chip firms. Our findings suggest that a leading candidate for explaining the economic sources of return predictability of stock indexes of smaller high-technology firms is transaction costs.

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Examining the first stages of market performance: a test for evolving market efficiency

Abstract: This research was undertaken with support from the European Commission's Phare ACE Programme 1995 and Phare ACE grant P96-6221-R.

Cited by 74 publications

References 3 publications

Testing the evolving efficiency of Arab stock markets

Testing the evolving efficiency of Arab stock markets

Time-varying predictability in crude-oil markets: the case of GCC countries

Sources of Predictability of European Stock Markets for High-technology Firms

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