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

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


Article Title [Persian]

آزمون شکل ضعیف فرضیة بازار کارا در شاخص‌های سهام کارای کربن همراه با شاخص‌های معیار در کشورهای منتخب

Authors [Persian]

  • رانجیت سینق 1
  • ان.ام. لیپسا 2
  • نارندرا ناث کوشواها 3
1 گروه مدیریت اجرائی، مدرسه مطالعات مدیریت جواهر لعل نهرو، دانشگاه آسام، سیلچار 788011، آسام، هند
2 مدرسه مدیریت، موسسه ملی فن آوری، رورکلا، 769008، اودیشا، هند
3 پژوهشگر موسسه هندی مدیریت، تیروچیراپالی، 620015، تامیل نادو، هند
Abstract [Persian]

در این مقاله، نتایج حاصل از آزمون شکل ضعیف فرضیة بازار کارا، اعمال‌شده بر شاخص‌های سهام کارای کربن در بازارهای سهام هند، ایالات متحده آمریکا، ژاپن و برزیل و شاخص‌های بازار مربوط به آن‌ها شاخص معیار مطرح می‌شود. در این مطالعه، از آزمون‌های کولموگروف- اسمیرنوف و شاپیرو- ویلک برای آزمون نرمال‌بودن داده‌ها استفاده شد. برای بررسی اتفاقی‌بودن داده‌ها از آزمون ران‌رست و خودهمبستگی استفاده شد. آزمون‌ها با استفاده از قیمت‌های نهایی روزانه برای طیف دورة نمونه انجام شده است. با آزمون‌های آماری مشخص شد که قیمت‌های نهایی روزانه در هر چهار کشور از گام تصادفی پیروی نمی‌کند. با این حال، بازده ماهانه در هند، ایالات متحدة آمریکا و برزیل، تحت گام تصادفی حرکت کرده است، اما در ژاپن چنین نیست.

Keywords [Persian]

  • بازار سهام
  • سرمایه‌گذاری سبز
  • شاخص سهام کارای کربن
  • فرضیه بازار کارا
  • گام تصادفی
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