Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎

Malika Neifar

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data of stock prices for the period from 2010M01 to 2019M07 for seven markets (Tunindex) ‎in Tunisia and 6 Asian countries : Saudi Arabia (TSAI), Japon (Nikkei 225), China (SSEC), ‎Turkey (BIST100), India (BSE30), and Indonesia (JKSE) by using linear and nonlinear (KSS ‎and Modified KSS) unit root tests. Our empirical results indicate that the stock markets are ‎efficient [not efficient] in the weak form of EMH in Tunisia and Saudi Arabia [Japan, ‎Turkey, India, Indonesia, and China]. The major policy implications is that in these five ‎countries (Japan, Turkey, India, Indonesia, and China), fund managers and investors can ‎enjoy excess returns to their investment. ‎

Keywords: Efficient-Market Hypothesis (EMH); BDS test; Linear Unit root test; Nonlinear Unit root test, ‎Tunisia and 6 Asian countries (search for similar items in EconPapers)
JEL-codes: C12 C22 G10 G14 (search for similar items in EconPapers)
Date: 2020-09-30
New Economics Papers: this item is included in nep-ara, nep-fmk, nep-isf and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/103232/1/MPRA_paper_103232.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:103232

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().