Are Civets Stock Markets Predictable?
Posted: 12 Oct 2012
Date Written: October 11, 2012
This paper tests weak-form market efficiency of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) over the period 2002-2012. We apply unit root tests and variance ratio tests to investigate if these equity markets follow a random walk. The empirical results indicate that our unit root results imply that CIVETS follow a random walk process. These stock indices are stationary and integrated of order one I(1). However, using variance ratio tests, we find that the stock markets of Colombia, Egypt and Vietnam do not follow the random walk.
Keywords: CIVETS, Random Walk, Market Efficiency, Stock market, Emerging Markets, Variance ratio
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