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Weak-form market efficiency in European emerging and developed stock markets. Discussion Paper No. 159

Worthington, Andrew C. & Higgs, Helen (2003) Weak-form market efficiency in European emerging and developed stock markets. Discussion Paper No. 159. [Working Paper] (Unpublished)

Abstract

This paper tests for random walks and weak-form market efficiency in European equity markets. Daily returns for sixteen developed markets (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom) and four emerging markets (Czech Republic, Hungary, Poland and Russia) are examined for random walks using a combination of serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests and multiple variance ratio (MVR) tests. The results, which are in broad agreement across the approaches employed, indicate that of the emerging markets only Hungary is characterized by a random walk and hence is weak-form efficient, while in the developed markets only Germany, Ireland, Portugal, Sweden and the United Kingdom comply with the most stringent random walk criteria.

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ID Code: 326
Item Type: Working Paper
Keywords: Developed and emerging markets, random walk hypothesis, market efficiency, European equity market, stock market
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2003 (please consult author)
Deposited On: 30 Aug 2004
Last Modified: 05 Jan 2011 23:23

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