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المؤلفLahyani, Fathia Elleuch
تاريخ الإتاحة2017-01-16T07:27:00Z
تاريخ النشر2014-12-18
اسم المنشورSAGE Open
المعرّفhttp://dx.doi.org/10.1177/2158244014558039
الاقتباس"Are MENA and Pacific Basin Stock Equity Markets Predictable?" Fathia Elleuch Lahyani SAGE Open Vol 4, Issue 4
الرقم المعياري الدولي للكتاب2158-2440
معرّف المصادر الموحدhttp://hdl.handle.net/10576/5169
الملخصThis research uses variance ratio analysis to test whether Middle Eastern, North African (MENA) and Pacific Basin emerging equity markets follow a martingale behavior during the period1980-2004. The conventional Lo and MacKinlay variance ratio test, the multiple variance ratio test of Chow and Denning, rank- and sign-based test of Wright, and wild bootstrap of Kim are used for the monthly return series. The problem of thin trading was addressed using Miller, Muthuswamy, and Whaley’s adjusting procedure. Results have shown traces of a martingale behavior at high holding horizons. However, overall conclusions indicate that the null martingale hypothesis is strongly rejected for the whole sample and considered sub-periods at a 5% significance level. The pattern of the variance ratio estimates signify that the selected stock markets exhibit persistent mean-reverting and predictable behavior in their monthly adjusted returns series. The results expose the ineffectiveness of economic liberalization and privatization measures implemented in the early 1990s to improve their market efficiency. The Asian crisis did not affect the outcomes of the variance ratio analysis. Moreover, it sounds as if the perceptible development in terms of size and liquidity was not sufficient to exhibit a martingale behavior in these markets.
اللغةen
الناشرSAGE publications
الموضوعVariance ratio analysis
market efficiency
economic reforms
Asian crisis
العنوانAre MENA and Pacific Basin Stock Equity Markets Predictable?
النوعArticle
رقم العدد4
رقم المجلد4
dc.accessType Open Access


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