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Efficiency Of The Eastern Caribbean Securities Exchange

Author

Listed:
  • Kirwins Charles
  • Bruce Niendorf
  • Kristine Beck

Abstract

This study examines the weak-form efficiency of the Eastern Caribbean Securities Exchange, which opened on October 19, 2001, by conducting tests for the day-of-the-week effect on the individual stocks listed on the Eastern Caribbean Securities Exchange. Weak-form efficiency means that current security prices reflect all past public information including past prices, rates of return, and trading volume data. Given the enormous amounts being invested in emerging markets, those countries that can maintain efficient markets may attract billions of dollars of capital to the businesses in their countries. This paper is the first to test firms listed on the Eastern Caribbean Securities Exchange for weak-form efficiency. The results of evaluating Monday returns, Friday returns and other day of the week returns are consistent with weak-form efficiency, while the results of runs tests find some evidence of weak-form inefficiency in the securities trading on the Eastern Caribbean Securities Exchange.

Suggested Citation

  • Kirwins Charles & Bruce Niendorf & Kristine Beck, 2013. "Efficiency Of The Eastern Caribbean Securities Exchange," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 7(5), pages 15-23.
    • Handle: RePEc:ibf:gjbres:v:7:y:2013:i:5:p:15-23
    as

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    References listed on IDEAS

    as
    1. A. Sabur Mollah, 2007. "Testing Weak-Form Market Efficiency In Emerging Market: Evidence From Botswana Stock Exchange," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(06), pages 1077-1094.
    2. Truong Dong Loc & Ger Lanjouw & Robert Lensink, 2010. "Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3519-3532.
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    4. Miller, Merton H & Muthuswamy, Jayaram & Whaley, Robert E, 1994. "Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?," Journal of Finance, American Finance Association, vol. 49(2), pages 479-513, June.
    5. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    6. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-566.
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    More about this item

    Keywords

    Market Efficiency; ECSE;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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