Revisiting the efficient market hypothesis in transition countries using quantile unit root test
Mohsen Bahmani-Oskooee (),
Tsangyao Chang (),
Tsung-hsien Chen () and
Han-wen Tzeng ()
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Tsung-hsien Chen: Chaoyang University of Technology, TAIWAN
Han-wen Tzeng: Overseas Chinese University, TAIWAN
Economics Bulletin, 2016, vol. 36, issue 4, 2171-2182
In this paper we test the weak form of the efficient-market hypothesis (EMH) using weekly data of stock prices from eight transition markets during the period 2000â€“2015. This is accomplished by using quantile unit root test. Our empirical results indicate that the stock markets are efficient in the weak form for most of the markets, except for Bulgaria, Romania, and Russia. The results imply that in many of these countries one cannot enjoy excess returns to their investment.
Keywords: Efficient Market Hypothesis; Transition Stock Markets; Quantile Unit Root Test (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-16-00147
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