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Stock market : random walk or mean reverting?

This study applies univariate as well as advanced unit root test for time series data to consider the Efficient Market Hypothesis (EMH) within eight (8) African stock markets. The stock prices data spanning from 1989:M7 till 2011:M3 is utilized for the stationarity tests. The results of the three co...

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第一著者: Sim, Gin Khai
フォーマット: Final Year Project Report
言語:English
出版事項: Universiti Malaysia Sarawak, (UNIMAS) 2011
主題:
HB Economic Theory
オンライン･アクセス:http://ir.unimas.my/id/eprint/5295/4/Sim%20Gin%20Khai%20%28fulltext%29.pdf
http://ir.unimas.my/id/eprint/5295/
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spelling my.unimas.ir.52952024-02-09T02:47:51Z http://ir.unimas.my/id/eprint/5295/ Stock market : random walk or mean reverting? Sim, Gin Khai HB Economic Theory This study applies univariate as well as advanced unit root test for time series data to consider the Efficient Market Hypothesis (EMH) within eight (8) African stock markets. The stock prices data spanning from 1989:M7 till 2011:M3 is utilized for the stationarity tests. The results of the three conventional unit root tests show that the eight (8) African stock markets do not exhibit the mean reverting behavior. On the other hands, the results from the Lagrange Multiplier (LM) unit roots also show that all the tested African stock markets are consistent with EMH. Overall, all the tests have suggested the same verdict where all the tested African countries are under weak form efficiency. Hence, this study may suggest that all the tested African countries are ready to take up the obligation in leading other inefficient groups toward the financial integration within the Africa itself. Universiti Malaysia Sarawak, (UNIMAS) 2011 Final Year Project Report NonPeerReviewed text en http://ir.unimas.my/id/eprint/5295/4/Sim%20Gin%20Khai%20%28fulltext%29.pdf Sim, Gin Khai (2011) Stock market : random walk or mean reverting? [Final Year Project Report] (Unpublished)
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Sim, Gin Khai
Stock market : random walk or mean reverting?
description This study applies univariate as well as advanced unit root test for time series data to consider the Efficient Market Hypothesis (EMH) within eight (8) African stock markets. The stock prices data spanning from 1989:M7 till 2011:M3 is utilized for the stationarity tests. The results of the three conventional unit root tests show that the eight (8) African stock markets do not exhibit the mean reverting behavior. On the other hands, the results from the Lagrange Multiplier (LM) unit roots also show that all the tested African stock markets are consistent with EMH. Overall, all the tests have suggested the same verdict where all the tested African countries are under weak form efficiency. Hence, this study may suggest that all the tested African countries are ready to take up the obligation in leading other inefficient groups toward the financial integration within the Africa itself.
format Final Year Project Report
author Sim, Gin Khai
author_facet Sim, Gin Khai
author_sort Sim, Gin Khai
title Stock market : random walk or mean reverting?
title_short Stock market : random walk or mean reverting?
title_full Stock market : random walk or mean reverting?
title_fullStr Stock market : random walk or mean reverting?
title_full_unstemmed Stock market : random walk or mean reverting?
title_sort stock market : random walk or mean reverting?
publisher Universiti Malaysia Sarawak, (UNIMAS)
publishDate 2011
url http://ir.unimas.my/id/eprint/5295/4/Sim%20Gin%20Khai%20%28fulltext%29.pdf
http://ir.unimas.my/id/eprint/5295/
_version_ 1792160560943464448
score 13.250246

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