Weak form market efficiency: a comparative study

Detalhes bibliográficos
Autor(a) principal: Lehlali, Mehdi
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/105847
Resumo: Thispaper is acomparative study analyzingthe efficiency of three different stock markets. Using data fromthe Casablanca Stock Exchange, Euronext Lisbon and the New York Stock Exchange, I look at the predictability of asset prices from 2002 to 2018. In the case of Morocco, I adapt the methodology to account for the institutional features of an emerging market by correcting daily returns for thin-trading and including a non-linearity term. The results show that all three markets are characterized by inefficient pricing during the whole period. I also divide the sample period into three sub-periods to track potential improvement in informational efficiency as a result of structural and institutional reforms of stock markets.
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spelling Weak form market efficiency: a comparative studyEmerging marketInefficiencyInfrequent tradingNon-linearityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThispaper is acomparative study analyzingthe efficiency of three different stock markets. Using data fromthe Casablanca Stock Exchange, Euronext Lisbon and the New York Stock Exchange, I look at the predictability of asset prices from 2002 to 2018. In the case of Morocco, I adapt the methodology to account for the institutional features of an emerging market by correcting daily returns for thin-trading and including a non-linearity term. The results show that all three markets are characterized by inefficient pricing during the whole period. I also divide the sample period into three sub-periods to track potential improvement in informational efficiency as a result of structural and institutional reforms of stock markets.Prado, MelissaRUNLehlali, Mehdi2020-10-19T10:08:34Z2020-01-142020-01-032020-01-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105847TID:202491889enginfo: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:RCAAP2024-03-11T04:51:01Zoai:run.unl.pt:10362/105847Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:36.024112Repositório 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 Weak form market efficiency: a comparative study
title Weak form market efficiency: a comparative study
spellingShingle Weak form market efficiency: a comparative study
Lehlali, Mehdi
Emerging market
Inefficiency
Infrequent trading
Non-linearity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Weak form market efficiency: a comparative study
title_full Weak form market efficiency: a comparative study
title_fullStr Weak form market efficiency: a comparative study
title_full_unstemmed Weak form market efficiency: a comparative study
title_sort Weak form market efficiency: a comparative study
author Lehlali, Mehdi
author_facet Lehlali, Mehdi
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Lehlali, Mehdi
dc.subject.por.fl_str_mv Emerging market
Inefficiency
Infrequent trading
Non-linearity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Emerging market
Inefficiency
Infrequent trading
Non-linearity
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Thispaper is acomparative study analyzingthe efficiency of three different stock markets. Using data fromthe Casablanca Stock Exchange, Euronext Lisbon and the New York Stock Exchange, I look at the predictability of asset prices from 2002 to 2018. In the case of Morocco, I adapt the methodology to account for the institutional features of an emerging market by correcting daily returns for thin-trading and including a non-linearity term. The results show that all three markets are characterized by inefficient pricing during the whole period. I also divide the sample period into three sub-periods to track potential improvement in informational efficiency as a result of structural and institutional reforms of stock markets.
publishDate 2020
dc.date.none.fl_str_mv 2020-10-19T10:08:34Z
2020-01-14
2020-01-03
2020-01-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/105847
TID:202491889
url http://hdl.handle.net/10362/105847
identifier_str_mv TID:202491889
dc.language.iso.fl_str_mv eng
language eng
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.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
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