Abstract

http://ssrn.com/abstract=2142484
 


 



Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-Form Efficiency


Lim Kai Jie Shawn


University College London - Department of Economics

Pavneet Chadha


University College London - Department of Economics

Lau Joshua


University College London - Department of Economics

Nishad Potdar


University College London - Department of Economics

September 6, 2012

Journal of Money, Investment and Banking, Issue 25, pp.181-193, 2012

Abstract:     
This paper investigates the empirical validity of the weak-form of the Efficient Market Hypothesis in the Mongolian equity market over Jan 1999 to Jul 2012. We examine the characteristics of the market by testing the fit of returns to a normal distribution using the Jarque-Bera Test, and find strong evidence against normality. The data also exhibits positive skewness and a high level of excess kurtosis. Next, we test for the presence of autocorrelation using the Ljung-Box Q Test and the non-parametric Runs Test, and find strong evidence against the null hypothesis of no autocorrelation for both of these tests. Finally, we test the associated Random Walk Hypothesis using the Augmented Dickey-Fuller Test and the Chow-Denning Multiple Variance Ratio (MVR) Test. We reject the null hypothesis of the presence of a unit root for the Augmented Dickey-Fuller Test. In addition, we find evidence against the Random Walk Hypothesis even after adjusting for the possible presence of heteroscedasticity in the MVR Test. Since all the tests present results consistent with weak-form inefficiency, we reject the weak-form of the Efficient Market Hypothesis for the Mongolian equity market.

Number of Pages in PDF File: 13

Keywords: Weak-form efficient market hypothesis, Mongolian equity market, Random walk hypothesis

JEL Classification: C14, G14

Accepted Paper Series


Download This Paper

Date posted: September 7, 2012 ; Last revised: October 8, 2012

Suggested Citation

Kai Jie Shawn, Lim and Chadha, Pavneet and Joshua, Lau and Potdar, Nishad, Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-Form Efficiency (September 6, 2012). Journal of Money, Investment and Banking, Issue 25, pp.181-193, 2012. Available at SSRN: http://ssrn.com/abstract=2142484

Contact Information

Lim Kai Jie Shawn (Contact Author)
University College London - Department of Economics ( email )
Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom
Pavneet Chadha
University College London - Department of Economics ( email )
Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom
Lau Joshua
University College London - Department of Economics ( email )
Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom
Nishad Potdar
University College London - Department of Economics ( email )
Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 849
Downloads: 204
Download Rank: 85,685

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.297 seconds