Logged out
Access All our Essays in an Instant
Swap your work for FREE access, or pay £4.99 for instant access
The objective of this project is to investigate whether prices in stock markets follow a weak form efficient process.
Member rating: No Rating | Words: | Submitted: Mon Sep 08 2003
Page Preview
On the left is an image preview of every page of this document, and below are the first 150 words with formatting removed:
TABLE OF CONTENTS 1 INTRODUCTION 2 2 DATA AND METHODOLOGY 2 2.1 JARQUE-BERA STATISTICS FOR NORMALITY 4 2.2 LJUNG-BOX STATISTICS FOR SERIAL CORRELATION 5 2.3 AUGMENTED DICKEY-FULLER TEST OF UNIT ROOT 5 2.4 RUNS TEST FOR RANDOMNESS 6 3 RESULTS AND DATA ANALYSIS 7 3.1 DESCRIPTIVE STATISTICS 7 3.2 RESULTS FROM JARQUE-BERA NORMALITY TEST 10 3.3 RESULTS FROM LJUNG-BOX STATISTICS FOR SERIAL CORRELATION 11 3.4 RESULTS OF ADF TEST FOR UNIT ROOT 14 3.5 RESULTS OF RUNS TEST FOR RANDOM WALKS 16 4 CONCLUSION 18 1 Introduction The concept of 'efficient' stock market has been hotly debated ever since Eugene Fama first introduced it around some thirty years ago. Under the weak form of market efficiency, the price of a security reflects all the available information about the economy, the market and the specific security, and that prices adjust immediately to new information. For a long time the conformation of random walk is considered to be a sufficient condition for market efficiency. However, rejection of random walk model does not necessarily imply the inefficiency of stock-price formation. Random walk is the path of a variable over time that exhibits no predictable patterns...
Get instant access
- Instant, unlimited access to our documents in full
- Swap your work for free access, or pay £4.99
- To see the full version of this document and 149,979 others
