Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

Singh, Ranjit; Leepsa, N.M.; Kushwaha, Narendra

doi:10.22059/ijms.2016.57591

Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

Document Type : Research Paper

Authors

¹ Department of Business Administration, Assam University Silchar-788011 Assam, India

² School of Management National Institute of Technology, Rourkela Rourkela-769008 Odisha, India

³ Research Scholar (Accounting and Finance) Fellow Programme in Management (FPM) Indian Institute of Management, Tiruchirappalli Tiruchirappalli-620015 Tamil Nadu, India

10.22059/ijms.2016.57591

Abstract

This paper presents the results of tests on the weak form of Efficient Market Hypothesis applied to carbon efficient stock market indices of India, the United States of America (USA), Japan, and Brazil and their corresponding market indices which are used as their benchmark indices. In this study, Kolmogrov-Smirnov and Shapiro-Wilk tests are used to test the normality of data. Run test and auto-correlation test are used to check the randomness of the data. The tests are performed using daily closing prices for the whole sample period. It is found from the statistical tests that the daily closing prices do not follow random walks in all the four countries. However, monthly returns are following random walk in case of India, USA, and Brazil, but not in case of Japan.

Keywords

Main Subjects

corporate finance

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Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)

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Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

References

Ball, R. (2009). “The Global Financial Crisis and the Efficient Market Hypothesis: What have we learned?” Journal of Applied Corporate Finance, 21(4), 8-16.

Borges, M. R. (2010). “Efficient Market Hypothesis in European Stock Markets.”The European Journal of Finance, 16(7), 711-726.

Bulkley, G., & Tonks, I. (1989). “Is the UK Equity Market Consistent with the “Efficient Markets” Model?” In A reappraisal of the efficiency of financial markets, Springer Berlin Heidelberg, pp. 433-451

Chao-Fu, C., Pandey, I. M. & Gupta, J. (1998). Is the Taiwan Stock Market Efficient? Working paper No. 1998-12-06. Indian Institute of Management, Ahmedabad

Chen, S. H., & Kuo, T. W. (2004). “Are Efficient Markets Really Efficient?Can Financial Econometric Tests Convince Machine-Learning People?” In Computational Intelligence in Economics and Finance, Springer Berlin Heidelberg, pp. 288-296.

Dockery, E., & Kavussanos, M. G. (1996). “Testing the Efficient Market Hypothesis using Panel Data, with application to the Athens stock market.” Applied Economics Letters, 3(2), 121-123.

Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance.” Journal of financial economics, 49(3), 283-306.

Islam, S. M., & Watanapalachaikul, S. (2005). “Market Efficiency Models and Tests”. Empirical Finance, Physica-Verlag HD, pp. 53-63.

Kenourgios, D., Samitas, A., & Christodoulou, A. (2006). “Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen”. Operational Research, 6(2), 163-182.

Kratz, O. S. (1999). “Market Efficiency in Frontier Emerging Markets”. Frontier Emerging Equity Markets Securities Price Behavior and Valuation, 17-47.

Levy, E., & Nobay, A. R. (1986). “The speculative efficiency hypothesis: A bivariate analysis”. The Economic Journal, 96, 109-121.

Malkiel, B. G. (2003). “The efficient market hypothesis and its critics”. Journal of Economic Perspectives, 17(1), 59-82.

Miclăuş, P. G., Lupu, R., Dumitrescu, S. A., & Bobirca, A. (2008). “Testing the efficiency of the European carbon futures market using event-study methodology”. International Journal of Energy and Environment, 2(2), 121-128.

Shmilovici, A., Alon-Brimer, Y., & Hauser, S. (2003). “Using a stochastic complexity measure to check the efficient market hypothesis”. Computational Economics, 22(2-3), 273-284.

Siering, M., &Muntermann, J. (2013). “The Role of Misbehavior in Efficient Financial Markets: Implications for Financial Decision Support”, In Enterprise Applications and Services in the Finance Industry (pp. 42-58). Springer Berlin Heidelberg.

Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67^th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014

Singh, R., Tiwari, C., Kushwaha, N., & Bhattacharya, V. (2015), Performances of Carbon efficient indices in India, USA, Japan and Brazil: A Comparative Study. In Dutta, R. (ed). Baniz, (pp. 101-128). Sibsagar: Sibsagar Commerce College.

Volume 9, Issue 3
July 2016
Pages 627-650

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Share

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Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

References

Ball, R. (2009). “The Global Financial Crisis and the Efficient Market Hypothesis: What have we learned?” Journal of Applied Corporate Finance, 21(4), 8-16.

Borges, M. R. (2010). “Efficient Market Hypothesis in European Stock Markets.”The European Journal of Finance, 16(7), 711-726.

Bulkley, G., & Tonks, I. (1989). “Is the UK Equity Market Consistent with the “Efficient Markets” Model?” In A reappraisal of the efficiency of financial markets, Springer Berlin Heidelberg, pp. 433-451

Chao-Fu, C., Pandey, I. M. & Gupta, J. (1998). Is the Taiwan Stock Market Efficient? Working paper No. 1998-12-06. Indian Institute of Management, Ahmedabad

Chen, S. H., & Kuo, T. W. (2004). “Are Efficient Markets Really Efficient?Can Financial Econometric Tests Convince Machine-Learning People?” In Computational Intelligence in Economics and Finance, Springer Berlin Heidelberg, pp. 288-296.

Dockery, E., & Kavussanos, M. G. (1996). “Testing the Efficient Market Hypothesis using Panel Data, with application to the Athens stock market.” Applied Economics Letters, 3(2), 121-123.

Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance.” Journal of financial economics, 49(3), 283-306.

Islam, S. M., & Watanapalachaikul, S. (2005). “Market Efficiency Models and Tests”. Empirical Finance, Physica-Verlag HD, pp. 53-63.

Kenourgios, D., Samitas, A., & Christodoulou, A. (2006). “Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen”. Operational Research, 6(2), 163-182.

Kratz, O. S. (1999). “Market Efficiency in Frontier Emerging Markets”. Frontier Emerging Equity Markets Securities Price Behavior and Valuation, 17-47.

Levy, E., & Nobay, A. R. (1986). “The speculative efficiency hypothesis: A bivariate analysis”. The Economic Journal, 96, 109-121.

Malkiel, B. G. (2003). “The efficient market hypothesis and its critics”. Journal of Economic Perspectives, 17(1), 59-82.

Miclăuş, P. G., Lupu, R., Dumitrescu, S. A., & Bobirca, A. (2008). “Testing the efficiency of the European carbon futures market using event-study methodology”. International Journal of Energy and Environment, 2(2), 121-128.

Shmilovici, A., Alon-Brimer, Y., & Hauser, S. (2003). “Using a stochastic complexity measure to check the efficient market hypothesis”. Computational Economics, 22(2-3), 273-284.

Siering, M., &Muntermann, J. (2013). “The Role of Misbehavior in Efficient Financial Markets: Implications for Financial Decision Support”, In Enterprise Applications and Services in the Finance Industry (pp. 42-58). Springer Berlin Heidelberg.

Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014

Singh, R., Tiwari, C., Kushwaha, N., & Bhattacharya, V. (2015), Performances of Carbon efficient indices in India, USA, Japan and Brazil: A Comparative Study. In Dutta, R. (ed). Baniz, (pp. 101-128). Sibsagar: Sibsagar Commerce College.

Volume 9, Issue 3July 2016Pages 627-650

Files

Share

How to cite

Statistics

Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67^th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014

Volume 9, Issue 3
July 2016
Pages 627-650