Testing capital market efficiency
by Christophe Boya
Global Business and Economics Review (GBER), Vol. 19, No. 2, 2017

Abstract: This paper reviews the main tools to test the hypothesis of efficient market. We divide into two categories. First, we examine tests for return predictability. We expose random walk tests through variance ratios and the presence of long memory. Furthermore, we develop this part by including the imperfections of the market such as calendar anomalies and the trading volume. Then, we present event studies and different t tests employed in the field. We complete with the analysis of an information flow by presenting the non-parametric model and the test statistic. We also display empirical results from the literature for each category studied. Conclusions show that event studies question the efficiency contrary to tests for return predictability.

Online publication date: Thu, 02-Mar-2017

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the Global Business and Economics Review (GBER):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com