TESTING WEAK FORM MARKET EFFICIENCY OF EMERGING MARKETS: A NONLINEAR APPROACH
Ece Karadagli () and
NazlÄ± C. Omay
Journal of Applied Economic Sciences, 2012, vol. 7, issue 3(21)/ Fall 2012, 235-245
This paper examines weak form efficiency in eight CEE emerging markets by testing whether the stock price series of these markets contain unit root. The unpredictability of stock returns indicates that stock prices follow random walk and hence are characterized by a unit root. For this purpose, we employ unit root and nonlinear unit root tests along with their panel extensions. The results indicate weak form efficiency in linear sense. However the findings of nonlinear unit root test suggest inefficiencies for Russian, Romanian and Polish stock markets. Furthermore, nonlinear panel unit root test support inefficiency for the sample we investigated.
Keywords: emerging markets; market efficiency; linear and nonlinear unit root and linear and nonlinear panel unit root (search for similar items in EconPapers)
JEL-codes: G14 C3 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:7:y:2012:i:3(21)_fall2012:p:235
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