TESTING THE WEAK-FORM EFFICIENCY OF THE FINNISH AND SWEDISH STOCK MARKETS
Journal Title: European Journal of Business and Social Sciences - Year 2013, Vol 2, Issue 9
Abstract
The theoretical models of Efficient Market Hypothesis (EMH) imply that the future price of a stock is unpredictable with respect to currently available information. In this study, the weak form efficiency of the Finnish and Swedish stock markets has been investigated by employing a serial correlation test, an Augmented Dickey-Fuller test and a variance ratio test proposed by Lo and Mckinlay (1988) for the hypothesis that the Finnish and Swedish stock market indices follow a random walk. The tests are performed using ten years’ daily the OMX Helsinki and OMX Stockholm indices data from 2003 to 2012. Daily returns are found to violate the assumption of normal distribution. Overall, the results conclude that daily prices and returns do not follow random walks in any of the two countries. This implies that both the Finnish and Swedish stock markets are not weak form efficient.
Authors and Affiliations
Abu Towhid Muhammad Shaker| PhD Student, Department of Finance University of Vaasa, Finland Contact Address: Kilpolantie 16 c 25, Helsinki- 00940, Finland. Cell: +358468933899
Keywords
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- EP ID EP10334
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