An empirical analysis on the efficiency of the microfinance investment market

Takeshi Inoue and Shigeyuki Hamori

No 271, IDE Discussion Papers from Institute of Developing Economies, Japan External Trade Organization(JETRO)

Abstract: This paper empirically analyzes the market efficiency of microfinance investment funds. For the empirical analysis, we use an index of the microfinance investment funds and apply two kinds of variance ratio tests to examine whether or not this index follows a random walk. We use the entire sample period from December 2003 to June 2010 as well as two sub-samples which divide the entire period before and after January 2007. The empirical evidence demonstrates that the index does not follow a random walk, suggesting that the market of the microfinance investment funds is not efficient. This result is not affected by changes in either empirical techniques or sample periods.

Keywords: Efficient market hypothesis; Microfinance investment; Variance ratio test; Microfinance (search for similar items in EconPapers)
JEL-codes: G14 G21 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-eff and nep-mfd
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Published in IDE Discussion Paper = IDE Discussion Paper, No. 271. 2010-12

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https://ir.ide.go.jp/record/37901/files/IDP000271_001.pdf First version, 2010 (application/pdf)

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Journal Article: An empirical analysis on the efficiency of the microfinance investment market (2011)
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