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ISSN Print: 2394-7500, ISSN Online: 2394-5869, CODEN: IJARPF

IMPACT FACTOR (RJIF): 8.4

Vol. 1, Issue 11, Part P (2015)

An empirical re-examination of the weak form efficient markets hypothesis of the Indian stock market using Q statistic

An empirical re-examination of the weak form efficient markets hypothesis of the Indian stock market using Q statistic

Author(s)
Dr. Neelam Gupta
Abstract
Lee (1992) employed variance ratio test to examine whether weekly stock returns of the United States and 10 industrialized countries: Australia, Belgium, Canada, France, Italy, Japan, Netherlands, Switzerland, United Kingdom and Germany follow a random walk process for the period 1967-1988. He found that the random walk model was still appropriate characterization of weekly return series for majority of these countries. Annuar et al. (1993) addressed similar issue but using indices data in place of individual stocks, covering sample period from January 1977 to May 1989, with weekly and monthly intervals. The results from unit root analysis, serial correlation test and Q statistics strongly suggested that the KLSE was weak form efficient, though, once again, pockets of inefficiency were reported for some indices.
Pages: 1133-1137  |  234 Views  88 Downloads


International Journal of Applied Research
How to cite this article:
Dr. Neelam Gupta. An empirical re-examination of the weak form efficient markets hypothesis of the Indian stock market using Q statistic. Int J Appl Res 2015;1(11):1133-1137.
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