A Weak-Form Efficiency Analysis of Asian Stock Markets
作者: Rupinder Katoch
刊名: International Journal of Management, IT and Engineering, 2018, Vol.8 (4), pp.1-15
来源数据库: Indianjournals.com
关键词: Auto-correlation TestADF TestRuns TestWeak-form of efficiencyNormality
原始语种摘要: The concept of efficient market hypothesis has remained the focus of the researchers of Finance ever since it has been proposed by Fama in 1965. Many researchers from time to time have analyzed the capital market efficiency of different countries of the world. The present study has analyzed and compared the efficiency of the Asian capital markets. Adjusted Daily closing prices of the most important Asian countries Japan, China, Singapaore, Hongkong, and India for the period ranging between 01/01/2008 to 31/12/2017 have been taken into consideration in order to test the weak form of market efficiency. Descriptive Statistics, ADF test, Auto-Correlation test, BOX-PIERCE TEST (Q), Jarque-Bera Statistic and Runs test have been used in order to reach the results. The results of tests of...
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  • market 市场
  • prices 行情
  • capital 首都
  • stationarity 固定性
  • stock 岩株
  • investing 熔模铸造
  • trading 贸易
  • returns 返回粉末
  • efficiency 效率
  • Analysis 分析