A Study on the Level of Market Efficiency in Five Markets

Material type: 文書・図像類

Author: Duan, Guoxiほか

Publisher: Graduate School of Economics, Osaka University

Publication date: 2021-12

Material Format: Paper

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Note (General)：: * Revised： [21-24 , 2021]This paper examines the weak form market efficiency in five stock markets, China (CSI 300 index), Hong Kong (HSI), Japan (Nik...

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Paper

Material Type: 文書・図像類
Title: A Study on the Level of Market Efficiency in Five Markets
Author/Editor: Duan, Guoxi
Tanizaki, Hisashi
Author Heading: Duan, Guoxi
Tanizaki, Hisashi
https://nrid.nii.ac.jp/nrid/1000060248101
Publication, Distribution, etc.: Graduate School of Economics, Osaka University
Publication Date: 2021-12
Publication Date (W3CDTF): 2021-12
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 21-24-Rev.
Volume: 21-24-Rev.
Text Language Code: eng
Subject Heading: market efficiency hypothesis
random walk
January effect
the-turn-of-the-month effect
the day-of-the-week-effect
Target Audience: 一般
Note (General): * Revised： [21-24 , 2021]
This paper examines the weak form market efficiency in five stock markets, China (CSI 300 index), Hong Kong (HSI), Japan (Nikkei 225), the US (NASDAQCOM) and Germany (DAX) from the perspective of random walk hypothesis. The methods for testing random walk are autocorrelation, runs test, strategy. This paper also examine three calendar effects in all stock markets: January effect, the-turn-of-the-month effect (the TOM effect), the day-of-the-week-effect (the DOW effect). The results are: (1)From the viewpoint of autocorrelation, the most efficient market among five stock markets is the market in Hong Kong while strong evidence of autocorrelation is found in China, CSI 300 and The US, NASDAQCOM. (2) The results of runs tests do not found evidence against randomness in daily returns for CSI 300, HSI from 2006 to 2020 but find a little evidence for Nikkei 225, NASDAQCOM, DAX. The higher level of efficient markets among five stock markets are the markets in China and Hong Kong. (3) The strategy analyzed in this paper does not find evidence indicating inefficient market for five indexes. (4) January effect did not exist in five indexes. (5) All five indexes are characterized with a TOM effect in different level and therefore the hypothesis of an efficient market is rejected for five markets. (6) All five indexed are found the-day-of-week effect which also indicates inefficient stock markets. we conclude that all five market are not efficient from 2006 to 2020. (7) After the consideration of time-varying volatility, we found January effect in Nikkei 225 in returns. Except Nikkei 225 all the other indexes are verified with the turn-of-the-month-effect and only CSI 300 are verified with the day-of-the-week-effect in returns.
Periodical Title (NCID): AA1160366X
https://ci.nii.ac.jp/ncid/AA1160366X
References (URI): URI
http://www2.econ.osaka-u.ac.jp/econ_society/dp/2124R.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華