МЕТОДИКА ОЦЕНКИ ГИПОТЕЗЫ ЭФФЕКТИВНОГО РЫНКА (ГЭР) В РАЗВИВАЮЩИХСЯ СТРАНАХ
Abstract
This paper investigates efficient market hypothesis. Moreover, paper considers factors such as thin trading, nonlinearity, institutional evolution which negatively impact for emerging markets to be efficient. Further paper shows Methodology proposed by Antoniou et al 1997 that tests EMH in emerging markets taking in account unique to the stock markets of emerging economies.References
1. Dimson, E. and Mussavian, M. (1998) A brief history of market efficiency. European Financial Management, 4(1), pp. 91-193.
2. Mandelbrot, B. (1966) Forecasts of future prices, unbiased markets and martingale models. Journal of Business, 39(1), pp. 242-255.
3. Fama, E.F. (1970) Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), pp. 383-423.
4. Г.Б. Досмухамбетова «Специфика использования Гипотезы эффективного рынка (EMH) в
развивающихся странах» Материалы Международной практической конференции «Финансоввый механизм повышения инновационной активности в экономике Казахстан» 2 часть, 2009г. стр 50-51.
5. Г.Б. Досмухамбетова «Гипотеза эффективного рынкаб миф или реальность: случай развивающихся рынков» Материалы Международной практической конференции «Финансоввый механизм повышения инновационной активности в экономике Казахстан» 2 часть, 2009г. стр 50-51.
6. Grieb, T. and Reyes, M.G. (1999) Random walk test for Latin American equity indexes and individual firms. The Journal of Financial Research, 22(4), pp. 371-383.
7. Urrutia, J.L. (1995) Test of random walk and market efficiency for Latin American Emerging equity markets. The Journal of Financial Research, 18(3), pp. 299-309.
8. Barnes, P. (1986) Thin trading and stock market efficiency: The case of the Kuala Lumpur Stock Exchange. Journal of Business Finance and Accounting, 13(4), pp. 609-617.
9. El-Erian, M.A. and Kumar, M.S. (1995) Emerging Equity Markets in Middle Eastern Countries. IMF staff papers, 42(2), pp. 313-343.
10. Solibakke, P.B. (2001) Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets. Applied Financial Economics, 11(5), pp. 539-556.
11. Solibakke, P.B. (2005), ‘Non-linear Dependence and Conditional Heteroscedasticity in Stock Returns.
12. Evidence from the Norwegian Thinly Traded Equity Market’, European Journal of Finance, 11 (2): 111-136.
13. Saadi, S., Gandhi, D. and Elmawazini, K. (2006) On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process. Applied Economics Letters, 13, pp. 301-305.
14. Voronkova, S. and Bohl, M.T. (2005), “Institutional Traders’ Behaviour in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors”, Journal of Business, Finance and Accounting, 32(7) and (8), pp. 1537-1560.
15. Antoniou, A., Ergul, N. and Holmes, P. (1997) Market efficiency, thin trading and non-linear behaviour: Evidence from an emerging market. European Financial Management, 3(2), pp. 175-190.
16. 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.
17. 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.
18. M. T. Ghani, Vasileios Kallinterakis‡, Mirjana Radovic-Markovic «Stock Exchange Alliances And Emerging Markets’ Efficiency:Evidence From The Baltic Exchanges»
2. Mandelbrot, B. (1966) Forecasts of future prices, unbiased markets and martingale models. Journal of Business, 39(1), pp. 242-255.
3. Fama, E.F. (1970) Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), pp. 383-423.
4. Г.Б. Досмухамбетова «Специфика использования Гипотезы эффективного рынка (EMH) в
развивающихся странах» Материалы Международной практической конференции «Финансоввый механизм повышения инновационной активности в экономике Казахстан» 2 часть, 2009г. стр 50-51.
5. Г.Б. Досмухамбетова «Гипотеза эффективного рынкаб миф или реальность: случай развивающихся рынков» Материалы Международной практической конференции «Финансоввый механизм повышения инновационной активности в экономике Казахстан» 2 часть, 2009г. стр 50-51.
6. Grieb, T. and Reyes, M.G. (1999) Random walk test for Latin American equity indexes and individual firms. The Journal of Financial Research, 22(4), pp. 371-383.
7. Urrutia, J.L. (1995) Test of random walk and market efficiency for Latin American Emerging equity markets. The Journal of Financial Research, 18(3), pp. 299-309.
8. Barnes, P. (1986) Thin trading and stock market efficiency: The case of the Kuala Lumpur Stock Exchange. Journal of Business Finance and Accounting, 13(4), pp. 609-617.
9. El-Erian, M.A. and Kumar, M.S. (1995) Emerging Equity Markets in Middle Eastern Countries. IMF staff papers, 42(2), pp. 313-343.
10. Solibakke, P.B. (2001) Efficiently ARMA-GARCH estimated trading volume characteristics in thinly traded markets. Applied Financial Economics, 11(5), pp. 539-556.
11. Solibakke, P.B. (2005), ‘Non-linear Dependence and Conditional Heteroscedasticity in Stock Returns.
12. Evidence from the Norwegian Thinly Traded Equity Market’, European Journal of Finance, 11 (2): 111-136.
13. Saadi, S., Gandhi, D. and Elmawazini, K. (2006) On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process. Applied Economics Letters, 13, pp. 301-305.
14. Voronkova, S. and Bohl, M.T. (2005), “Institutional Traders’ Behaviour in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors”, Journal of Business, Finance and Accounting, 32(7) and (8), pp. 1537-1560.
15. Antoniou, A., Ergul, N. and Holmes, P. (1997) Market efficiency, thin trading and non-linear behaviour: Evidence from an emerging market. European Financial Management, 3(2), pp. 175-190.
16. 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.
17. 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.
18. M. T. Ghani, Vasileios Kallinterakis‡, Mirjana Radovic-Markovic «Stock Exchange Alliances And Emerging Markets’ Efficiency:Evidence From The Baltic Exchanges»
Downloads
Issue
Section
THEORETICAL PROBLEMS AND ISSUES OF MODELING OF ECONOMICS
