A Study on the Level of Market Efficiency in Five Markets

Duan, Guoxi; Tanizaki, Hisashi

A Study on the Level of Market Efficiency in Five Markets

Duan, Guoxi; Tanizaki, Hisashi

Discussion Papers In Economics And Business, 2021, 21-24-Rev.

アクセス数:311件（2025-08-29 22:25 集計）

固定URL: https://hdl.handle.net/11094/85469

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タイトル	A Study on the Level of Market Efficiency in Five Markets
著者	著者名 Duan, Guoxi
著者	NRID 1000060248101 1000060248101 researchmap permalink read0034558 read0034558 Scopus Author ID 7004095028 7004095028 著者名 Tanizaki, Hisashi
キーワード等	market efficiency hypothesis
	random walk
	January effect
	the-turn-of-the-month effect
	the day-of-the-week-effect
内容	* Revised： [21-24 , 2021]
抄録	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.
出版者	Graduate School of Economics, Osaka University
収録物名	Discussion Papers In Economics And Business
巻(号)	21-24-Rev.
刊行年月	2021-12
言語	英語
ハンドルURL	https://hdl.handle.net/11094/85469
NCID	AA1160366X
関連情報 (references)	URI http://www2.econ.osaka-u.ac.jp/econ_society/dp/2124R.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Discussion Papers In Economics And Business
最終更新日	2021-12

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business. 2021, 21-24-Rev.
DC.title	A Study on the Level of Market Efficiency in Five Markets
DC.creator	Duan, Guoxi
DC.creator	Tanizaki, Hisashi
DC.publisher	Graduate School of Economics, Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2021-12
DC.relation' scheme='DCTERMS.URI	http://www2.econ.osaka-u.ac.jp/econ_society/dp/2124R.pdf
DC.subject	market efficiency hypothesis
	random walk
	January effect
	the-turn-of-the-month effect
	the day-of-the-week-effect
DC.description	* Revised： [21-24 , 2021]
DCTERMS.abstract	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.
DC.format	85469
citation_title	A Study on the Level of Market Efficiency in Five Markets
citation_author	Duan, Guoxi
citation_author	Tanizaki, Hisashi
citation_publisher	Graduate School of Economics, Osaka University
citation_language	英語
citation_date	2021-12
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	21-24-Rev.
citation_public_url	https://hdl.handle.net/11094/85469
citation_abstract_html_url	http://www2.econ.osaka-u.ac.jp/econ_society/dp/2124R.pdf

A Study on the Level of Market Efficiency in Five Markets

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