The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries

Aycan Hepsag and Burcay YASAR Akcali

Journal of BRSA Banking and Financial Markets, 2015, vol. 9, issue 2, 73-90

Abstract: The goal of this paper is to investigate the weak form efficiency of the stock markets of G-7 and E-7 countries within the framework of Efficient Market Hypothesis. Towards to the goal of paper, we test whether the stock market indices of G-7 and E-7 countries follow random walk or not, using asymmetric nonlinear unit root test. The empirical findings show that the stock markets of France, Italy, Japan and the USA have weak-form efficiency, but the stock markets of Canada, Germany and the UK are not weak form efficient. The empirical results also show that the stock markets of Brazil, China, India, Indonesia, Mexico and Turkey have weak form efficiency, but the stock market of Russia is not weak form efficient. Besides, the inefficient stock markets which of Canada, Germany, Russia and the UK response in the same way to positive and negative deviations of the same proportionate amount.

Keywords: Efficient Market Hypothesis; Asymmetric Nonlinear Unit Root Test; G-7 and E-7 Countries (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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