Weak Form of Efficiency Hypotheses: Empirical Modeling With Box ¨CPierce, ADF and ARCH Tests

Saliha Theiri and Abdessatar Ati

International Journal of Financial Research, 2020, vol. 11, issue 5, 137-149

Abstract: The aim of this paper is to analyze the information efficiency after period of revolution. In particularly, it is a question of testing the weak form of efficiency on the Tunisian stock market. Based in many studies in literature of efficiency in developed countries, the select sample is compound of 52 companies over the period 2014-2018. By applying the different test of Unit Root (ADF), Box ¨CPierce and ARCH for detect the presence or not of Conditional heteroskedasticity. These tests show that the efficiency hypothesis in its weak form is not verified for majority of companies making up our sample, but it is only confirmed in 10 companies.

Keywords: random walk; efficiency; emerging market; heteroskedasticity (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:11:y:2020:i:5:p:137-149

DOI: 10.5430/ijfr.v11n5p137

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