Summary Literature Reviewerature Review

8/13/2019 Summary Literature Reviewerature Review

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An

Assignment

on

The Literature Review

Weak Form of Market Efficiency

Submitted To:

Dr. Pankajray Patel

Submitted By:

Prof. Nikunj Patel

Pacific Academy of Higher Education and

Research University


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2 Prof.NikunjPatel,AssociateProfessor|S.V.InstituteofManagement,Kadi

Summary of Literature Review Weak form of Market Efficiency

Sr.

No.

Name of the

AuthorYear

Period of

StudyMethodology Used (Tests) Res

1 Fama (1965)

30 individualstocks quotedin the DowJonesIndustrialAverage

1956 to 1962Serial correlation test, runs testand Alexanders filter ruletechnique

Num

wassignthersuccmagconmar

2Sharma andKennedy (1977)

India, U.S.and U.K.

BSE Index, theS&P 425 Indexand the LondonFT Actuaries

500 Stock Index

Runs Test

Anaindetimestocrandmar

3 Sharma (1983)BombayStockExchange

23 stocks listedon the BSE inthe period 1973 1978

Unit Root, Runs Test

Theof ssimleadthatgen

4 Barnes (1986)KualaLumpur StockExchange

30 companiesand six sectorindexes for thesix years period

ended 1980

Unit Root, Autocorrelation

TheKLSeffic

effi

5 Laurence (1986)

KualaLumpur andSingaporeStockMarkets

1973 1978 Runs and Autocorrelation TestThemareffi


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6 Parkinson (1987)Nairobi StockExchange

1974 to 1978 Runs Test

Thecom49 sandwas

7 S. K. Chaudhuri(1991)

India 1988-1990 Serial Correlation,Run test.

Studseemform

8 Lee (1992)

US, Australia,Belgium,Canada,France, Italy,Japan,Netherlands,Switzerland,UnitedKingdom, and

Germany

1967- 1988 Runs Test, Serial Correlation TestHe hfounfollo

9Butler and Malaikah(1992)

Kuwait andSaudi Arabianstock markets

1985 1989 Autocorrelation TestThebut effi

10Roger Ignatius(1992)

BombayStockExchange

1979 1990Parametric and Nonparametrictests

Theretuthe weeretu

11 Choudhry (1994)

The UnitedStates, The

UnitedKingdom,Canada,France,Germany,Japan andItaly

1953 1989ADF and KPSS unit root tests,and Johansens cointegration tests

All

effifromthatconJohsupp


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12Dickinson &Muragu (1994)

Nairobi StockExchange

1979 1989 Autocorrelation and runs tests

Usinfounsuppeffi

13 Urrutia (1995)

Argentina,

Brazil, Chile,and Mexico

1975 1991 Variance Ratio Test, Runs Test

TheVarratiohyp

14 Chang et al. (1996)Taiwan stockexchange

1967 to 1993Ljung-Box Q, the runs and theunit root tests

Theis wperi

15Sunil Poshakwale(1996)

India 1987-1994Serial Correlation,Run test, KS test.

Thiconefficfor pos

16Al-Loughani andChappel (1997)

UnitedKingdomstock market(FTSE 30)

1983 1989

LM serial correlation, DF unitroot and Brock, Dechert andScheinkman (BDS) non-lineartests

Thethe nonunitstatshowThehetecorrresurand

17Antoniou, A., Ergul,N., and Holmes, P.(1997)

Istanbul StockExchange(ISECompositeIndex)

1988 1993Serial Correlation, MovingAverage Model

By uthatComhighinfoinst


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18

Martin Laurence,Francisc Cai andsun Quin(1997)

China 1993-1996Unit Root Test,Serial Correlation, Co- integrationtest, Granger Causality test.

Resformare

19Karemera et al.(1999)

Argentina,Brazil, Chile,Hong Kong,Indonesia,Israel, Jordan,Korea,Malaysia,Mexico,Philippines,Singapore,Taiwan,Thailand,Turkey

1986 1997Single variance ratio, Multiplevariance ratio, Runs Test

Autmodundthatcann

20Asma Mobarek andKeavin Keasey(2000)

Bangladesh 1988-1997Auto-correlation test, Auto-regression, ARIMA model.

ThiretuMar

21Chang and Ting(2000)

Taiwan stockmarket

1971-1996 Variance Ratio Test

Thehypmarmonwei

22 Abeysekera (2001)

ColomboStockExchange(CSE) in SriLanka

January 1991 November 1996

Runs, Autocorrelation andcointegration test

The

corrindeCSEwalandperi


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23Cheung, C.K., andCoutts, A. J. (2001)

Hong Kongstockexchange

1985 1997 Variance Ratio Test

Autheteexamconrand

24

Claire G. Gilmoreand Ginette M.McManus(2001)

CzechRepublic,Hungary, andPoland

1995-2000

Autocorrelation,Variance Ratio test, Co-integration and Granger Causalitytest.

Conranddepmar

25Pant &Bishnoi(2001)

Indian stockmarketindices

1996 2001Autocorrelation using Qstatistic& Dickey-Fuller test, VarianceRatio Test

Themarwaltest

26Abraham et al.

(2002)

three majorGulf stockmarketsincluding

Kuwait, SaudiArabia, andBahrain

1992 1998 variance ratio and runs tests

Rejall minfr

the rand

27Mobarek et al(2002)

Dhaka stockmarket inBangladesh

1988 1997

Non-parametric (KS test and runtest) and parametric test (Auto-correlation test, Autoregressivemodel, ARIMA model)

AutPararetuwalautolagsweaalso

diff

28

NataliaAbrosimova,Gishan Dissanaikeand Dirk Linowski(2002)

Russia 1995-2001

ARIMA and GARCH model,Unit root,Autocorrelation and Varianceratio tests.

Fourejecou


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29Bin Liu(2003)

China 1996-2002Fama-MacBeth regressions.Autocorrelation.

Thifavodoeprop

30Gilmore, C. G., andMcManus, G. M.(2003)

CzechRepublic,Hungary andPoland

1995 2000

Unit root, variance ratio,autocorrelation, Johansen andGranger causality Nave, ARIMAand GARCH).

AutMuevidSomVar(198ARIreje

31

Hassan, K. M., Al-

Sultan, W., and Al-Saleem, J. A. (2003)

Kuwait stock

market 1995 2000

Logistic Map Model, GARCH-M

and EGARCH Models

AutMarMarthe pos

becthe andreperegu

32Moustafa, M. A.(2004)

United ArabEmirates(UAE) stockmarket

43 stocksincluded in theUAE marketindex for thePeriod 2001 2003

Unit Root, Runs Test

Autthe signhis rform

33Nath & Dalvi(2004)

S&P CNXNIFTY

1999 2003Robust regression with biweightsand dummy variables

Theof rMondayhighFridinef


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34Worthington andHiggs (2004)

Austria,Belgium,Denmark,Finland,France,Germany,Greece,Ireland, Italy,Netherlands,Norway,Portugal,Spain,Sweden,Switzerland,and theUnitedKingdom, and

four emergingstockmarkets:CzechRepublic,Hungary,Poland andRussian.

1987 2003serial correlation, runs, threetypes of unit root and multiplevariance ratio tests

FouHundevIrelacom

35Abrosimova, N.,Dissanaike, G., andLinowski, D. (2005)

RussianTradingSystem (RTS)index

1995 2001Unit root, autocorrelation andvariance ratio tests, ARIMA,GARCH

Autdataalsoserisompredexceshorthe stat


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autorejewalfor t

36

Arusha Cooray andGuneratneWickremasinghe(2005)

India, SriLanka,Bangladeshand Pakistan

1996-2005Pair-wise Correlation,Autocorrelation, Cointegrationtest, Granger Causality test.

Uniall mnot stocgenof Bare

37Akinkugbe, O.(2005)

BotswanaStockExchange

1989 2003Autocorrelation, and AugmentedDickey-Fuller and Phillip-Perronunit root tests

In Botefficstroshowauto

havimp

38Ashutosh Verma(2005)

India 1996-2001 Serial CorrelationOveeffi

39Helen K. Simon(2005)

USA 1995-2004MLR Model,ANN Model.

TheWe

40Khaled, M., andIslam, A. (2005)

Dhaka stockmarket

1990 2001Unit Root and Variance RatioTests

Marin fodatawasbut

Hetfounstoc

41Tas and Dursonoglu(2005)

Istanbul StockExchange(ISE 30Indices)

1995 2004Dickey-Fuller unit root and runstests

Autrootreje


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42

Mohammed Omranand Suzanne V.Farrar(2006)

Egypt,Jordan,Morocco,Turkey andIsrael

1996-2000Variance Ratio,Auto-correlation.

Theefficmarpred

43

Collins GyakariNtim, Kwaku K.Opong, and JoDanbolt(2007)

Africa 1990-2005 Variance Ratio

Theconformstricmar

44Rakesh Gupta andParikshit K. Basu(2007)

India1991-2006 Phillips-Perron tests, augmented

Dickey-Fuller (ADF) and KPSS.Themar

45

Rengasamy Elango,Mohammed IbrahimHussein

(2007)

Dubai ,SaudiArabia,Abu Dhabi,Qatar,

Kuwait,Oman,Bahrain.

2001-2006Run test, KS test. Auto-

Correlation

Anaof mvari

periin th

46

Asma Mobarek,A.Sabur Mohllahaand RafiqualBhuyan (2008)

Bangladesh1988-2000 Runs test, K-S test, Auto-

correlation,

StudDSErem

47Batool Asiri(2008)

India1990-2000

ARIMA,Autocorrelation,Unit Root test.

Thethe comwal

48 P K Mishra and B BPradhan(2009)

India 2001-2009 Unit Root Test,Phillips-Perron tests augmentedDickey-Fuller (ADF)

Theformmar

49

Francesco Guidi,Rakesh Gupta andSuneel Maheshwari,(2010)

Poland,Hungary, theCzechRepublic,

1999-2009Autocorrelation,Runs Test, Variance Ratio,GARCH-M.

Ovetheseffi


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Slovakia,Romania,Bulgaria, andSlovenia

50P K Mishra(2010) India 1991-2009

Unit Root test,

GARCH Model.

It re

cap

51Saif Sadiqui andP.K.Gupta(2010)

India2000-2008

Runs test, K-S testAutocorrelation,Auto -regressionARIMA

Thenot

52

Kashif Hamid,Muhammad T.S.,Syad Z.A.,Rana S.,(2010)

Pakistan,India, SriLanka, China,Korea, HongKong,Indonesia,

Malaysia

2004-2009Auto-correlation,Runs Test, Unit Root Test andVariance Ratio.

Studwea


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References[1]Arusha Cooray and Guneratne Wickremasinghe, The Efficiency Of Emerging Stock

Markets: Empirical Evidence From The South Asian Region

[2]Ashutosh Verma. (2005), The study of the weak form informational efficiency in BombayStock Market, Finance India, Vol. 19; 4, pp.1421.

[3]AslBayar and Ozgur Berk Kan (1999), Day of the Week Effects: Recent Evidence fromNineteen Stock Markets, participants of 1999 Global Finance Conference, p.g :77-90

[4]Asma Mobarek and Keavin Keasey (2000), Weak-form market efficiency of an emergingMarket: Evidence from Dhaka Stock Market of Bangladesh, ENBS Conference held on

Oslo, May 2000.

[5]Asma Mobarek, A.Sabur Mohllaha and Rafiqual Bhuyan (2008), Market Efficiency inEmerging Stock Market: Evidence from Bangladesh, Journal of Emerging Market Finance

2008; p.g: 7-17

[6]Batool Asiri (2008), Testing weak-form efficiency in the Bahrain stock market,International Journal of Emerging Markets, Vol.3, No. 1, pp.38-53.

[7]Bhanu Pant and T. R. Bishnoi, Testing Random Walk Hypothesis for Indian Stock MarketIndices

[8]Bin Liu (2003), Weak-form Market Efficiency of Shanghai Stock Exchange: An EmpiricalStudy.

[9]Claire G. Gilmore and Ginette M. McManus (2001), Random-Walk and Efficiency Tests ofCentral European Equity Markets, European Financial Management Association

Conference, June 2001.

[10]Collins Gyakari Ntim, Kwaku K. Opong, and Jo Danbolt (2007), An Empirical Re-Examination of the Weak Form Efficient Markets Hypothesis of the Ghana Stock Market

Using Variance- Ratios Tests, African Finance Journal, Vol. 9, Part 2.

[11]Francesco Guidi, Rakesh Gupta and Suneel Maheshwari (2010), Weak-form marketefficiency and calendar anomalies for Eastern Europe equity markets, MPRA Paper No.

21984.


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[12]Hassan Aly, Seyed Mehdian, and Mark J. Perry,(2004), An Analysis of Day-of-the-WeekEffects in the Egyptian Stock Market, INTERNATIONAL JOURNAL OF BUSINESS,

9(3), 2004,pp.301-308.

[13]Helen K. Simon, (2005), An examination weak form of efficient market hypothesis withinthe context of NASDAQ composite index.

[14]Kashif Hamid, Muhammad T.S., Syad Z.A. and Rana S., (2010),Testing the Weak formof Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets,

International Research Journal of Finance and Economics, 58, pp. 121-133.

[15]Martin Laurence, Francisc Cai and sun Quin (1997), Weak-Form Market efficiency andCausality Test in Chinese Stock Markets,Multinational Finance Journal;1, pp.291-307.

[16]Mohammed Omran and Suzanne V. Farrar (2006), Tests of weak form efficiency in theMiddle East emerging markets, Studies in Economics and Finance, Vol. 23 ,No. 1, pp. 13-

26.

[17]Natalia Abrosimova, Gishan Dissanaike and Dirk Linowski (2002), Testing the Weak-Form Efficiency of the Russian Stock Market, Centre for Economic and Financial

Research.

[18]Nousheen Zafar, Syeda Faiza Urooj and Syed Umar Farooq (2010), Karachi StockExchange: Testing Month of the Year Effect, European Journal of Economics, Issue 24,

pp. 20-29.

[19]P. K. Mishra and B. B. Pradhan (2009), Capital Market Efficiency and FinancialInnovation, The Research Network, Vol.4, No.1.

[20]P K Mishra (2010), Indian Capital Market Revisiting Market Efficiency,http://ssrn.com/abstract=1339901

[21]Peter Reinhard Hansen, Asger Lunde, and James M. Nason (2005), Testing theSignificance of Calendar Effects, Working Paper 2005-2; www.frbatlanta.org

[22]Rakesh Gupta and Parikshit K. Basu (2007): Weak Form Efficiency in Indian StockMarkets,International Business & Economics Research Journal, Vol. 6, N0. 3, pp. 57-64.

[23]Ramesh Chander,Kiran Mehta and Renuka Sharma,(2008), A Reexamination of the Day-of-the-Week Effect on the Indian Stock Markets, APPLIED FINANCE, Vol. 14 No. 4, pp.

5-20.


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[24]Rengasamy Elango, Mohammed Ibrahim Hussein (2007), An Empirical Analysis on TheWeak-Form Efficiency of The GCC Markets Applying Selected Statistical Tests

[25]Rosa Mara and Alejandro Rodrguez Caro (2006), Day of the Week Effect on EuropeanStock Markets, International Research Journal of Finance and Economics, Issue-2,pp.55-

70

[26]Saif Sadiqui and P.K.Gupta (2010), Weak Form of Market Efficiency- Evidences fromselected NSE indices : http://ssrn.com/abstract=1355103.

[27]S. K. Chaudhuri (1991), Short-run Share Price Behaviour: New Evidence on Weak Formof Market Efficiency,Vol. 16, No 4, pp. 17-21.

[28]Sunil Poshakwale (1996), Evidence on Weak Form Efficiency and Day of the Week Effectin the Indian Stock Market, Finance India, Vol. X. No.3, pp.605-616.

[29]Ushad Subadar Agathee (2008), Calendar Effects and the Months of the Year: Evidencefrom the Mauritian Stock Exchange, International Research Journal of Finance and

Economics, Issue 14, pp. 254-264.

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Summary Literature Reviewerature Review