This paper examines the weak-form efficiency of the Korean stock exchange market under the substantially relaxed daily price movement limit system which has been in operation in this market since June 2015. Within the framework of a random walk model, we have carried out a detailed empirical...

This note examines the weak-form market efficiency of Latin American equity markets. Daily returns for Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron...

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto (Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this...

The authors use a variance ratio test to test the weak form of market efficiency as regards capital markets in the Czech Republic, Slovakia, Hungary, Poland, and in the United States. Market efficiency was tested using weekly and monthly values of relevant market indices in a period from 1993...

This paper tests for random walks and weak-form market efficiency in European equity markets. Daily returns for sixteen developed markets (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United...

After describing the various forms of efficiency and calendar anomalies observed in many developed and emerging markets according to the existing literature, the present study examines this phenomenon empirically in the Nepalese stock market for daily data of Nepal Stock Exchange Index from...

In this paper, we address weak form stock market efficiency of Emerging Economies, by testing whether the price series of these markets contain unit root. Nonlinear behavior of stock prices is well documented in the literature, and thus linear unit root tests may not be appropriate in this case....

This paper analyses the statistical behavior of the US dollar, against nine different currencies, over the float period, with a monthly data set. The martingale hypothesis is rejected for all currencies. However, all currencies have a unit root. There is overwhelming evidence for significant...

This study evaluates the existence of the adaptive market hypothesis (AMH) as an evolutionary alternative to the efficient market hypothesis (EMH) by applying daily returns on the TEPIX index in the Tehran stock exchange (TSE) in Iran. The data span of daily returns is from 1999 to 2013. In this...

A consistent theme in the market efficiency literature has concerned the presence of calendar anomalies or seasonality in stock market returns. Whereas calendar anomalies in advanced equity markets have been investigated extensively, the stock markets in the transition economies have received...