Title: Market efficiency in developed and emerging markets
Authors: Ankit Sharma; Keyur Thaker
Addresses: Finance and Accounting Area, Indian Institute of Management Indore, India ' Finance and Accounting Area, Indian Institute of Management Indore, India
Abstract: The weekly and monthly returns of stock indices and portfolios of stock indices were analysed to investigate the weak form of market efficiency in developed and emerging capital markets using standard tests of market efficiency. Our results, based on an analysis of 13 years of data, show mixed results for different indices. However, portfolio returns of developed and emerging markets indicate the absence of market efficiency. Developed markets show inefficiency for monthly returns that is contrary to the conventional perception that developed markets are efficient in comparison to emerging markets owing to their long existence, better maturity, depth and technological development.
Keywords: augmented Dickey-Fuller test; autocorrelation; efficient market hypothesis; EMH; Johansen cointegration test; market efficiency; Phillips-Perron test; runs test; unit root test; developed markets; emerging markets; capital markets.
DOI: 10.1504/AAJFA.2015.073470
Afro-Asian Journal of Finance and Accounting, 2015 Vol.5 No.4, pp.311 - 333
Received: 30 Nov 2014
Accepted: 06 Jul 2015
Published online: 09 Dec 2015 *