Efficient market hypothesis in European stock markets

Detalhes bibliográficos
Autor(a) principal: Borges, Maria Rosa
Data de Publicação: 2010
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/26311
Resumo: This paper reports the results of tests on the weak-form market efficiency applied to stock market indexes of UK, France, Germany, Spain, Greece and Portugal, from January 1993 to December 2007. We use a runs test, and joint variance ratio tests, which are performed using daily and weekly data for the period 1993–2007 and for a subset, 2003–2007. Daily and weekly returns are not normally distributed, because they are negatively skewed and leptokurtic, and also display conditional heteroscedasticity. Overall, we find mixed evidence on the efficient market hypothesis (EMH). The hypothesis is rejected on daily data for Portugal and Greece, due to first-order positive autocorrelation in the returns. However, the empirical tests show that these two countries have been approaching a martingale behavior after 2003. France and UK data rejects EMH, due to the presence of mean reversion in weekly data, and stronger in recent years. Taken together, the tests for Germany and Spain do not allow the rejection of EMH, this last market being the most efficient.
id RCAP_447b5e5291ab3fca7b0d988e1c3aad9d
oai_identifier_str oai:www.repository.utl.pt:10400.5/26311
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Efficient market hypothesis in European stock marketsMarket EfficiencyMartingaleEuropean Stock MarketsVariance Ratio TestThis paper reports the results of tests on the weak-form market efficiency applied to stock market indexes of UK, France, Germany, Spain, Greece and Portugal, from January 1993 to December 2007. We use a runs test, and joint variance ratio tests, which are performed using daily and weekly data for the period 1993–2007 and for a subset, 2003–2007. Daily and weekly returns are not normally distributed, because they are negatively skewed and leptokurtic, and also display conditional heteroscedasticity. Overall, we find mixed evidence on the efficient market hypothesis (EMH). The hypothesis is rejected on daily data for Portugal and Greece, due to first-order positive autocorrelation in the returns. However, the empirical tests show that these two countries have been approaching a martingale behavior after 2003. France and UK data rejects EMH, due to the presence of mean reversion in weekly data, and stronger in recent years. Taken together, the tests for Germany and Spain do not allow the rejection of EMH, this last market being the most efficient.Taylor & Francis GroupRepositório da Universidade de LisboaBorges, Maria Rosa2022-11-29T18:41:00Z20102010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/26311engBorges, Maria Rosa .(2010). “Efficient market hypothesis in European stock markets”. The European Journal of Finance, Vol. 16, No. 7: pp. 711–7261466-4364 (Online)10.1080/1351847X.2010.495477info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:47Zoai:www.repository.utl.pt:10400.5/26311Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:59.159859Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Efficient market hypothesis in European stock markets
title Efficient market hypothesis in European stock markets
spellingShingle Efficient market hypothesis in European stock markets
Borges, Maria Rosa
Market Efficiency
Martingale
European Stock Markets
Variance Ratio Test
title_short Efficient market hypothesis in European stock markets
title_full Efficient market hypothesis in European stock markets
title_fullStr Efficient market hypothesis in European stock markets
title_full_unstemmed Efficient market hypothesis in European stock markets
title_sort Efficient market hypothesis in European stock markets
author Borges, Maria Rosa
author_facet Borges, Maria Rosa
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Borges, Maria Rosa
dc.subject.por.fl_str_mv Market Efficiency
Martingale
European Stock Markets
Variance Ratio Test
topic Market Efficiency
Martingale
European Stock Markets
Variance Ratio Test
description This paper reports the results of tests on the weak-form market efficiency applied to stock market indexes of UK, France, Germany, Spain, Greece and Portugal, from January 1993 to December 2007. We use a runs test, and joint variance ratio tests, which are performed using daily and weekly data for the period 1993–2007 and for a subset, 2003–2007. Daily and weekly returns are not normally distributed, because they are negatively skewed and leptokurtic, and also display conditional heteroscedasticity. Overall, we find mixed evidence on the efficient market hypothesis (EMH). The hypothesis is rejected on daily data for Portugal and Greece, due to first-order positive autocorrelation in the returns. However, the empirical tests show that these two countries have been approaching a martingale behavior after 2003. France and UK data rejects EMH, due to the presence of mean reversion in weekly data, and stronger in recent years. Taken together, the tests for Germany and Spain do not allow the rejection of EMH, this last market being the most efficient.
publishDate 2010
dc.date.none.fl_str_mv 2010
2010-01-01T00:00:00Z
2022-11-29T18:41:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/26311
url http://hdl.handle.net/10400.5/26311
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Borges, Maria Rosa .(2010). “Efficient market hypothesis in European stock markets”. The European Journal of Finance, Vol. 16, No. 7: pp. 711–726
1466-4364 (Online)
10.1080/1351847X.2010.495477
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis Group
publisher.none.fl_str_mv Taylor & Francis Group
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131196126396416