SavedAdd your journal

Journals / Doğuş Üniversitesi Dergisi / 2017 / Cilt: 18 - Sayı: 1

Is There a Relationship between Country Classification and Market Efficiency?: A Global Investigation

Ülke Sınıflandırması ile Piyasa Etkinliği Arasında Bir İlişki Var Mı?: Küresel Bir Çalışma

BERNA KIRKULAK ULUDAĞ
Hassan EZZAT
Pages
99–114
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that the weak-form market efficiency is becoming prevalent in the Advanced Emerging markets.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The objective of this paper is to test the Efficient Market Hypothesis EMH for countries at different economic development levels.
📊
Key Findings & Data:The FTSE Country Classification was used to reveal the economic development of 17 developed and 12 emerging markets.
💡
Conclusion & Impact:The results show that the weak-form market efficiency is becoming prevalent in the Advanced Emerging markets.
🔬Design:Research Article
📍Scope:2005 Verileri
⚙️Variables:piyasa etkinliği · piyasa gelişmişliği · market efficiency

Abstract

The objective of this paper is to test the Efficient Market Hypothesis EMH for countries at different economic development levels. The FTSE Country Classification was used to reveal the economic development of 17 developed and 12 emerging markets. The sampling period is between 2005 and 2013. In order to test market efficiency, Portmanteau Q test, the runs test, the single and multiple variance ratio VR tests were used. The results show that the weak-form market efficiency is becoming prevalent in the Advanced Emerging markets. The striking finding of the paper presents that the market efficiency is associated with the market evolution. As the economies and markets of countries evolve and meet the criteria for promotion to upper country classification, they become weak-form efficient. Further, the findings reveal the facts that the markets which suffer from severe financial and political crises, or belong to low ranked emerging markets are unlikely to be efficient.

Özet

Bu makalenin amacı farklı ekonomik gelişmişlik düzeyinde olan ülkeler için Etkin Piyasa Hipotezini EPH test etmektir. Çalışmada 17’si gelişmiş ve 12’si gelişmekte olan ülkenin ekonomik gelişmişlik düzeyini göstermek için FTSE Ülke Sınıflandırması kullanılmıştır. Çalışmanın örneklem aralığı 2005ile 2013 yılları arasıdır. Piyasa etkinliğini test etmek için Portmanteau Q testi, runs testi, tekli ve çoklu varyans oranı testleri kullanılmıştır. Sonuçlar, gelişen piyasalar içerisinde ekonomik gelişmişliği daha iyi olan piyasaların zayıf formda etkin olduğunu göstermektedir. Çalışmanın en önemli bulgusu ise piyasaların ekonomik gelişmişlik seviyesi ile piyasa etkinliğinin yakından ilişkisi olduğudur. Piyasalar geliştikçe ve bir üst düzey gelişmişlik kademesine geçtikçe daha etkin hale gelmektedirler. Ayrıca, çalışmanın bulguları, finansal ve politik krizlerden etkilenen piyasalar ile daha az gelişmiş finansal piyasaların etkin piyasa olmaktan uzak olduğunu ortaya koymaktadır

🔖

Cite This Article

ULUDAĞ, B. K., EZZAT, H. (2017). Is There a Relationship between Country Classification and Market Efficiency?: A Global Investigation. Doğuş Üniversitesi Dergisi, Cilt: 18 - Sayı: 1, 99–114. https://ajindex.com/articles/125894

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (17)

  1. Abdmoulah, W. (2010). Testing the Evolving Efficiency of Arab Stock Markets, International Review of Financial Analysis, 19, 25-34.
  2. Abraham, A., Seyyed, F,J, and S.A. Alsakran, S.A. (2002),.Testing the Random Walk Behaviour and Efficiency of the Gulf Stock Markets, The Financial Review, 37(3): 469–80.
  3. Bollerslev, T. (1986). Generalized Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-315. Çelik,T.T. ve Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları, İTÜ Dergisi/b, Sosyal Bilimler Cilt:4, Sayı:2, 11-22
  4. Campbelll, J., LO, A., and MACKINLAY, A. C. (1997). The Econometrics of Financial Markets. Princeton: Princeton University Press.
  5. Chan, K. C., Jegadeesh, N. and Lakonıshok, J. (1996),
  6. Momentum strategies, The Journal of Finance 51(5), 1681– 1713. Chan, K.C., Gup, B.E., and Pan, M.S. (1997). International Stock Market Efficiency and Integration: A study of Eighteen Nations, Journal of Business Finance and Accounting, 24(6), 803 Chang, K. and Ting, K. (2000). A Variance Ratio Test of the Random Walk Hypothesis for Taiwan’s Stock Market, Applied Financial Economics, 10, 525-32.
  7. Cheong, C.W. (2008). A sectoral efficiency analysis of Malaysian stock exchange under structural break, American Journal of Applied Sciences, 5, 1291-1295
  8. Chow, K.V. and Denning, K.C. (1993). A simple multiple variance ratio test, Journal of Econometrics 58, 385–401.
  9. Engle, R. F., Lilien,D.M., and Robıns,R.P. (1987). Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica, 55, 391–407.
  10. Fama, E. F. (1965).
  11. The Behavior of Stock Market Prices, The Journal of Business, 38 (1), 34- 105. Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383-417.
  12. Fama, E. F. and Macbeth, J. (1973).
  13. Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, 81 (3) 607-636.
  14. FTSE (2013).FTSE Global Equity Index Series Country Classification. Godfrey, M. D., Granger, C. W. J. and Morgenstern, O. (1964), The random walk hypothesis of stock market behavior, Kyklos 17(1), 1–30.
  15. Guidi, F., Gupta, R., and Maheshwari, R. (2011). Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets, Journal of Emerging Market Finance, 10(3), 337-389.
  16. Hassan, K. M., Haque, M., and Lawrence, S. (2006). An Empirical Analysis of Emerging Stock Markets of Europe, Quarterly Journal of Business and Economics, 45(1&2), 31-52.
  17. Hoque, H. A., Kım, J. H., and