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Revisiting the efficient market hypothesis in transition countries using quantile unit root test

Author

Listed:
  • Mohsen Bahmani-Oskooee

    (University of Wisconsin-Milwaukee)

  • Tsangyao Chang

    (Feng Chia University, TAIWAN)

  • Tsung-hsien Chen

    (Chaoyang University of Technology, TAIWAN)

  • Han-wen Tzeng

    (Overseas Chinese University, TAIWAN)

Abstract

In this paper we test the weak form of the efficient-market hypothesis (EMH) using weekly data of stock prices from eight transition markets during the period 2000–2015. This is accomplished by using quantile unit root test. Our empirical results indicate that the stock markets are efficient in the weak form for most of the markets, except for Bulgaria, Romania, and Russia. The results imply that in many of these countries one cannot enjoy excess returns to their investment.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Tsangyao Chang & Tsung-hsien Chen & Han-wen Tzeng, 2016. "Revisiting the efficient market hypothesis in transition countries using quantile unit root test," Economics Bulletin, AccessEcon, vol. 36(4), pages 2171-2182.
    • Handle: RePEc:ebl:ecbull:eb-16-00147
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    2. Hosseinkouchack, Mehdi & Wolters, Maik H., 2013. "Do large recessions reduce output permanently?," Economics Letters, Elsevier, vol. 121(3), pages 516-519.
    3. Mohsen Bahmani-Oskooee & Omid Ranjbar, 2016. "Quantile unit root test and PPP: evidence from 23 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 48(31), pages 2899-2911, July.
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    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    6. Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
    7. James S Ang & Randolph A Pohlman, 1978. "A Note on the Price Behavior of Far Eastern Stocks," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 9(1), pages 103-108, March.
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    Citations

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    Cited by:

    1. Malika Neifar & Leila Gharbi, 2022. "Weak EMH and Canadian stock markets: evidence from linear and nonlinear unit root tests," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, vol. 14(4), pages 629-651, December.
    2. Jitka Veselá & Alžběta Zíková, 2022. "Are the Czech, Polish, German and Dutch markets taking a random walk? [Konají český, polský, německý a nizozemský trh náhodnou procházku?]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2022(2), pages 19-38.
    3. repec:prg:jnlcfu:v:2022:y:2022:i:2:id:575 is not listed on IDEAS
    4. Mohsen Bahmani‐Oskooee & Tsangyao Chang & Zahra (Mila) Elmi & Omid Ranjbar, 2019. "Real Interest Rate Parity And Fourier Quantile Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 348-358, July.
    5. neifar, malika, 2020. "Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎," MPRA Paper 103232, University Library of Munich, Germany.

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    More about this item

    Keywords

    Efficient Market Hypothesis; Transition Stock Markets; Quantile Unit Root Test;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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