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.

Number of Access:306（2025-08-13 20:41 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/11094/85469

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Title
A Study on the Level of Market Efficiency in Five Markets
Creator
CreatorName
Duan, Guoxi
NRID
1000060248101 1000060248101
researchmap permalink
read0034558 read0034558
Scopus Author ID
7004095028 7004095028
CreatorName
Tanizaki, Hisashi
Subject
market efficiency hypothesis
random walk
January effect
the-turn-of-the-month effect
the day-of-the-week-effect
Description
* Revised： [21-24 , 2021]
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.
Publisher
Graduate School of Economics, Osaka University
Source Title
Discussion Papers In Economics And Business
Volume (Issue)
21-24-Rev.
Date of Issued
2021-12
Language
English
Handle URL
https://hdl.handle.net/11094/85469
NCID
AA1160366X
Relation.references
URI
http://www2.econ.osaka-u.ac.jp/econ_society/dp/2124R.pdf
Access Rights
metadata only access
Category
ディスカッション／ワーキング・ペーパー DP/WP
Discussion Papers In Economics And Business
Date.Updated
2021-12