ГИПОТЕЗА ЭФФЕКТИВНОГО РЫНКА В РАЗВИВАЮЩИСЯ СТРАНАХ В УСЛОВИЯХ «УЗКОЙ ТОРГОВЛИ», НА ПРИМЕРЕ СТРАН ПРИБАЛТИЙСКОГО РЕГИОНА
29 26
Abstract
This paper investigates efficient market hypothesis in the context of three Baltic markets Latvia, Estonia, and Lithuania. Paper takes account factors such as thin trading, nonlinearity, which negatively impact for emerging markets to be efficient. Using methodology proposed by Antoniou et. Al. 1997 that tests EMH in emerging markets we test EMH controlling for nonlinearity and thin trading. We assert that all three markets are inefficient. Moreover, after correcting for thin trading markets become efficient. However, we are in opinion of that factor of institutional evolution is also important to be considered in our further study.References
1. Fama, Eugene (1965). "The Behavior of Stock Market Prices". Journal of Business (38): 34–105.
2. Fama, E.F. (1970) Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), pp. 383-423.
3. Досмухамбетова Г.Б. «Специфика оценки Гипотезы эффективного рынка (ЕМН) в развивающихся странах» стр.50-51. Финансовый механизм повышения инновационной активности в экономики РК. Материалы межд. научно-прак. конф. посв. 60-летию Высшего экон. образования в Казахстане. Часть-2, Алматы -2009 г.
4. Antoniu, A., Ergul, N. and Holmes P. (1997) Market efficiency, thin trading and non-linear behavior: Evidence from an emerging market. European Financial Management, 3(2), pp.175-190.
5. Досмухамбетова Г.Б. «Методика оценки Гипотезы эффективного рынка (ГЭР) в развивающихся странах», Вестник КазНУ им. Аль-Фараби, Серия экономическая (5) на печати.
6. Siriopoulos, C., Tsotsos, R. and Karagianni, S. (2001) The Impact of Non Linearities, Thin Trading and Regulatory Changes in the Efficiency of an Emerging Capital Market. The Applied Business Research, 17(4), pp.81-92
7. Rayhorn, C., Kabir Hassan, M., Yu, J-S and Janson, K.R., 2007, “Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non-Linearity, Thin Trading and Asymmetric Information”, International Review of Finance, 7 (1-2): 21-34.
8. Solibakke, P.B. (2001) Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets. Applied Financial Economics, 11(5), pp. 539-556.
9. Solibakke, P.B. (2005), ‘Non-linear Dependence and Conditional Heteroscedasticity in Stock Returns. Evidence from the Norwegian Thinly Traded Equity Market’, European Journal of Finance, 11 (2): 111-136.
10. Miller, M.H. J. Muthuswamy and R.E. Whaley (1994) “Mean Reversion on Standard and Poor 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?”, Journal of Finance, 49 (2): 479-513
2. Fama, E.F. (1970) Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), pp. 383-423.
3. Досмухамбетова Г.Б. «Специфика оценки Гипотезы эффективного рынка (ЕМН) в развивающихся странах» стр.50-51. Финансовый механизм повышения инновационной активности в экономики РК. Материалы межд. научно-прак. конф. посв. 60-летию Высшего экон. образования в Казахстане. Часть-2, Алматы -2009 г.
4. Antoniu, A., Ergul, N. and Holmes P. (1997) Market efficiency, thin trading and non-linear behavior: Evidence from an emerging market. European Financial Management, 3(2), pp.175-190.
5. Досмухамбетова Г.Б. «Методика оценки Гипотезы эффективного рынка (ГЭР) в развивающихся странах», Вестник КазНУ им. Аль-Фараби, Серия экономическая (5) на печати.
6. Siriopoulos, C., Tsotsos, R. and Karagianni, S. (2001) The Impact of Non Linearities, Thin Trading and Regulatory Changes in the Efficiency of an Emerging Capital Market. The Applied Business Research, 17(4), pp.81-92
7. Rayhorn, C., Kabir Hassan, M., Yu, J-S and Janson, K.R., 2007, “Emerging Market Efficiencies: New Zealand's Maturation Experience in the Presence of Non-Linearity, Thin Trading and Asymmetric Information”, International Review of Finance, 7 (1-2): 21-34.
8. Solibakke, P.B. (2001) Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets. Applied Financial Economics, 11(5), pp. 539-556.
9. Solibakke, P.B. (2005), ‘Non-linear Dependence and Conditional Heteroscedasticity in Stock Returns. Evidence from the Norwegian Thinly Traded Equity Market’, European Journal of Finance, 11 (2): 111-136.
10. Miller, M.H. J. Muthuswamy and R.E. Whaley (1994) “Mean Reversion on Standard and Poor 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?”, Journal of Finance, 49 (2): 479-513
Downloads
How to Cite
Досмухамбетова, Г. Б. (2015). ГИПОТЕЗА ЭФФЕКТИВНОГО РЫНКА В РАЗВИВАЮЩИСЯ СТРАНАХ В УСЛОВИЯХ «УЗКОЙ ТОРГОВЛИ», НА ПРИМЕРЕ СТРАН ПРИБАЛТИЙСКОГО РЕГИОНА. Journal of Economic Research &Amp; Business Administration, 82(6), 30–34. Retrieved from https://be.kaznu.kz/index.php/math/article/view/102
Issue
Section
THEORETICAL PROBLEMS AND ISSUES OF MODELING OF ECONOMICS
