 Martingales in European emerging stock markets: Size, liquidity and market qualityGraham Smith The European Journal of Finance, 2009, vol. 15, issue 3, 249-262 Abstract: The hypothesis that stock index returns form a martingale difference sequence (MDS) is tested for 10 European emerging stock markets: the Czech Republic, Estonia, Hungary, Malta, Poland, Russia, the Slovak Republic, Slovenia, Turkey and the Ukraine, using joint variance ratio tests based on signs and the wild bootstrap, for the period beginning in January 1998 and ending in September 2007. For comparative purposes, the same tests are carried out with data for the United Kingdom and the United States. In two of the emerging markets, Poland and Turkey, and the two developed markets, none of the tests rejects the martingale hypothesis. For the stock markets in Malta, the Slovak Republic and Slovenia, all of the evidence finds that stock index returns do not form a martingale difference sequence. The results are discussed in light of stock market characteristics: size, liquidity and the quality of the market are important for MDS returns. Keywords: European stock markets; capitalisation; conditional heteroscedasticity; liquidity; market quality; martingale; variance ratio test; wild bootstrap (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:15:y:2009:i:3:p:249-262 Ordering information: This journal article can be ordered from DOI: 10.1080/13518470802423262 Access Statistics for this article The European Journal of Finance is currently edited by Chris Adcock More articles in The European Journal of Finance from Taylor & Francis Journals |
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