The prospects of BRIC countries: Testing weak-form market efficiency

Mobarek, Asma; Fiorante, Angelo

doi:10.1016/j.ribaf.2013.06.004

Cited by 60 publications

(38 citation statements)

References 25 publications

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“…The study clearly identified the two developed markets (US and Japan) as the most efficient. These results show the general trend of increasing efficiency in emerging markets [Hoque, Kim, and Pyun 2007;Kim and Shamsuddin 2008;Mobarek and Fiorante 2014] which might be evidence for the AMH that efficiency can evolve over time [Lim 2007]. …”

Section: Developed Versus Emerging Marketsmentioning

confidence: 62%

“…Since the emergence of behavioural finance during the last decades, which is the study of the behaviour of financial participants and may explain the inefficiency of markets by the irrationality of investors by certain behavioural heuristics [e.g. overconfidence or information bias, Shleifer 2000], the trend is towards an adaptive market hypothesis [AMH], where the weak-form may persist together with behavioural finance in a logically consistent way [Mobarek and Fiorante 2014].…”

Section: Literature Reviewmentioning

confidence: 99%

“…Additionally Wen, Li, and Liang [2010] tested China's capital markets and concluded that neither of the indexes (Shenzen and Shanghai) reached the level of weak-form efficiency between 2006 and 2009. In contrast Mobarek and Fiorante [2014] studied the market efficiency of BRIC countries between 1995 and 2010 and found evidence that these emerging countries are fairly weak-form efficient. Vulic [2009] [Rehman and Qamar 2014].…”

Section: Emerging Marketsmentioning

confidence: 99%

“…A few could find evidence for the existence of the RWH and weak-form EMH; however other studies have shown results that emerging markets seem to be predictable. Overall it is widely agreed in the literature that developed markets are more efficient than emerging markets, whereby emerging markets are about to become more efficient, according to some recent studies [Mobarek and Fiorante 2014].…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Testing the weak-form efficiency of agriculture’s capital markets

Ghimire¹,

Annussek²,

Harvey³

et al. 2016

EBR

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The risk of the increasing divergence of the eurozone and the problem of macroeconomic imbalances in a three-gap model Jacek Pera Structural barriers to research and development activities in emerging markets Review, Vol. 2 (16), No. 2, 2016: 3-17 DOI: 10.18559/ebr.2016Thus we finally rejected the null hypothesis for all indices in all periods. Accordingly agriculture's developed markets are equally inefficient and predictable as its emerging markets. The results of this work suggest that investors can achieve superior returns by investing in agricultural equity markets following a technical analysis and active portfolio approach. Thus this work is in great interest of investors and portfolio managers following an agriculture strategy. The study adds value to current research of market efficiency in developed as well as emerging markets.

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Section: Developed Versus Emerging Marketsmentioning

confidence: 62%

Section: Literature Reviewmentioning

confidence: 99%

Section: Emerging Marketsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Testing the weak-form efficiency of agriculture’s capital markets

Ghimire¹,

Annussek²,

Harvey³

et al. 2016

EBR

View full text Add to dashboard Cite

show abstract

“…Many studies have examined the existence of weak form of EMH in the past (Chakraborty, 2006;Guidi et al, 2011;Irshad and Sarwar, 2012;Mobarek and Fiorante, 2014;Nawaz et al, 2013;Omar et al, 2013;Ryaly et al, 2017). However, the indings of these studies were mixed.…”

Section: Background Of the Studymentioning

confidence: 99%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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Testing asymmetry in mean reversion based on high and low prices: Evidence from BRICS countries

Kanvinde

Shaik

2020

Journal of Public Affairs

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Shaik and Maheswaran (2018) proposed the Expected Lifetime Range (ELR) ratio based on high minus low price (range) series to detect mean reversion. This paper extends this test statistic and proposes a set of test statistics—Expected Lifetime Surplus (ELSp) and Expected Lifetime Shortfall (ELSf) ratios—which are based on high and low price series respectively. These test statistics help in precisely detecting whether the source of market inefficiency is the high or the low price series. The paper empirically tests the three test statistics on the BRICS stock market indices. The sample period is divided into pre and post subprime crisis data sets. It is found that the BRICS stock market indices show mean reversion from 2001 to 2018. While in the pre subprime crisis period the indices followed random walk, after the subprime crisis the BRICS stock markets show mean reversion behavior. The source of this mean reversion are the high prices which have become more predictable after the subprime crisis.

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The prospects of BRIC countries: Testing weak-form market efficiency

Cited by 60 publications

References 25 publications

Testing the weak-form efficiency of agriculture’s capital markets

Testing the weak-form efficiency of agriculture’s capital markets

Calendar anomalies: Review of literature

Testing asymmetry in mean reversion based on high and low prices: Evidence from BRICS countries

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