Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

Singh, Ranjit; Leepsa, N.M.; Kushwaha, Narendra

doi:10.22059/ijms.2016.57591

فهرست نشریات

فهرست نشریات دارای اعتبار وزارت علوم، تحقیقات و فناوری

فهرست مجلات علمی- پژوهشی دانشگاه تهران

نحوه ارسال مقاله برای مجله- ثبت نام در سامانه- فراموش کردن رمز عبور

تعداد نشریات	161
تعداد شماره‌ها	6,532
تعداد مقالات	70,501
تعداد مشاهده مقاله	124,113,680
تعداد دریافت فایل اصل مقاله	97,217,420

	Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries
Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
مقاله 9، دوره 9، شماره 3، مهر 2016، صفحه 627-650 اصل مقاله (516.38 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ijms.2016.57591
نویسندگان
Ranjit Singh^* ¹؛ N.M. Leepsa²؛ Narendra Kushwaha³
¹Department of Business Administration, Assam University Silchar-788011 Assam, India
²School of Management National Institute of Technology, Rourkela Rourkela-769008 Odisha, India
³Research Scholar (Accounting and Finance) Fellow Programme in Management (FPM) Indian Institute of Management, Tiruchirappalli Tiruchirappalli-620015 Tamil Nadu, India
چکیده
This paper presents the results of tests on the weak form of Efficient Market Hypothesis applied to carbon efficient stock market indices of India, the United States of America (USA), Japan, and Brazil and their corresponding market indices which are used as their benchmark indices. In this study, Kolmogrov-Smirnov and Shapiro-Wilk tests are used to test the normality of data. Run test and auto-correlation test are used to check the randomness of the data. The tests are performed using daily closing prices for the whole sample period. It is found from the statistical tests that the daily closing prices do not follow random walks in all the four countries. However, monthly returns are following random walk in case of India, USA, and Brazil, but not in case of Japan.
کلیدواژه‌ها
Carbon Efficient Stock Index؛ Efficient Market Hypothesis؛ Green Investment؛ Random Walk؛ Stock market

مراجع
Amenc, N., Goltz, F., & Tang, L. (2010). Adoption of Green Investing by Institutional Investors:A European Survey. France: An EDHEC-Risk Institute Ball, R. (2009). “The Global Financial Crisis and the Efficient Market Hypothesis: What have we learned?” Journal of Applied Corporate Finance, 21(4), 8-16. Borges, M. R. (2010). “Efficient Market Hypothesis in European Stock Markets.”The European Journal of Finance, 16(7), 711-726. Bulkley, G., & Tonks, I. (1989). “Is the UK Equity Market Consistent with the “Efficient Markets” Model?” In A reappraisal of the efficiency of financial markets, Springer Berlin Heidelberg, pp. 433-451 Chao-Fu, C., Pandey, I. M. & Gupta, J. (1998). Is the Taiwan Stock Market Efficient? Working paper No. 1998-12-06. Indian Institute of Management, Ahmedabad Chen, S. H., & Kuo, T. W. (2004). “Are Efficient Markets Really Efficient?Can Financial Econometric Tests Convince Machine-Learning People?” In Computational Intelligence in Economics and Finance, Springer Berlin Heidelberg, pp. 288-296. Chia, C. P., Goldberg, L. R., Owyong, D. T., Shepard, P., & Stoyanov, T. (2009). “Is there a green factor?” The Journal of Portfolio Management, 35(3), 34-40. Claessens, S., Dasgupta, S., & Glen, J. (1995). “Return behavior in emerging stock markets.”The World Bank Economic Review, 9(1), 131-151. Clarke, J., Jandik, T., & Mandelker, G. (2001). “The Efficient Markets Hypothesis” in Expert Financial Planning: Advice from Industry Leaders, (ed.) R. Arffa, 126-141. Daskalakis, G., & Markellos, R. N. (2008). “Are the European Carbon Markets Efficient?” Review of Futures Markets, 17(2), 103-128. Dockery, E., & Kavussanos, M. G. (1996). “Testing the Efficient Market Hypothesis using Panel Data, with application to the Athens stock market.” Applied Economics Letters, 3(2), 121-123. Eccles, R. G., Ioannou, I., & Serafeim, G. (2011). “The Impact of Corporate Sustainability on Organizational Processes and Performance.”Harvard Business School Working Paper Series 12-035 , http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964011, Accessed on 13 February 2015. Ellinger, A.G. (1971), “The Art of Investment”, 3rd ed., Bowes and Bowes, pp 293-298 Fama, E. F. (1970). “Efficient capital markets: A review of theory and empirical work”. The journal of Finance, 25(2), 383-417. Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance.” Journal of financial economics, 49(3), 283-306. Gupta, R., & Basu, P. K. (2011). “Weak form efficiency in Indian stock markets”. International Business and Economics Research Journal, 6(3), 45-53. Hamid, K., Suleman, M. T., Shah, S. Z. A., & Akash, R. S. I. (2010). “Testing the weak form of efficient market hypothesis: Empirical evidence from Asia-Pacific markets”. International Research Journal of Finance and Economics, 58, 121-133. Hassan, M. K. (2002). “Risk, return and volatility of faith-based investing: the case of Dow Jones Islamic Index” in Proceedings of 5th Harvard University Forum on Islamic Finance, Harvard University. Islam, S. M., & Watanapalachaikul, S. (2005). “Market Efficiency Models and Tests”. Empirical Finance, Physica-Verlag HD, pp. 53-63. Jordan, J. S. (1983). “On the efficient markets hypothesis”. Econometrica: Journal of the Econometric Society, 51(5) 1325-1343. Kendall, M. G., & Hill, A. B. (1953). “The analysis of economic time-series-part I: Prices”. Journal of the Royal Statistical Society. Series A (General), 116(1), 11-34. Kenourgios, D., Samitas, A., & Christodoulou, A. (2006). “Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen”. Operational Research, 6(2), 163-182. Kratz, O. S. (1999). “Market Efficiency in Frontier Emerging Markets”. Frontier Emerging Equity Markets Securities Price Behavior and Valuation, 17-47. Laffont, J. J., & Maskin, E. S. (1990). “The efficient market hypothesis and insider trading on the stock market”. Journal of Political Economy, 98 (1), 70-93. Levy, E., & Nobay, A. R. (1986). “The speculative efficiency hypothesis: A bivariate analysis”. The Economic Journal, 96, 109-121. Lilliefors, H. W. (1967). “On the Kolmogorov-Smirnov test for normality with mean and variance unknown”. Journal of the American Statistical Association,62(318), 399-402. Lo, A. W., & MacKinlay, A. C. (1988). “Stock market prices do not follow random walks: Evidence from a simple specification test”. Review of financial studies, 1(1), 41-66. Malkiel, B. G. (2003). “The efficient market hypothesis and its critics”. Journal of Economic Perspectives, 17(1), 59-82. Miclăuş, P. G., Lupu, R., Dumitrescu, S. A., & Bobirca, A. (2008). “Testing the efficiency of the European carbon futures market using event-study methodology”. International Journal of Energy and Environment, 2(2), 121-128. Milunovich, G., & Joyeux, R. (2007). “Testing market efficiency and price discovery in European carbon markets, MACQUARIE ECONOMICS RESEARCH PAPERS, No. 1, Department of Economics, Macquarie University, Sydney available at https://ideas.repec.org/p/mac/wpaper/0701.html, Accessed on 13 February 2015. Poshakwale, S. (1996). “Evidence on weak form efficiency and day of the week effect in the Indian stock market’. Finance India, 10(3), 605-616. Roux, F. J. P., & Gilbertson, B. P. (1978). “The behaviour of share prices on the Johannesburg Stock Exchange”. Journal of Business Finance and Accounting, 5(2), 223-232. Shapiro, S. S., & Wilk, M. B. (1965). “An analysis of variance test for normality (complete samples)”. Biometrika, 52 ( 3/4), 591-611. Shmilovici, A., Alon-Brimer, Y., & Hauser, S. (2003). “Using a stochastic complexity measure to check the efficient market hypothesis”. Computational Economics, 22(2-3), 273-284. Siering, M., &Muntermann, J. (2013). “The Role of Misbehavior in Efficient Financial Markets: Implications for Financial Decision Support”, In Enterprise Applications and Services in the Finance Industry (pp. 42-58). Springer Berlin Heidelberg. Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67^th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014 Singh, R. & Bhowal, A. (2010). “Imparting Investment Education to Employees by the Employer: An Expectation-Experience Gap Study”. Amity Management Analyst, 5 (2): 57-65 Singh, R. & Bhowal, A. (2011). "Development of Marketing Driven Measure of Risk Perception". The Journal of Risk Finance, 12 (2): 140 – 152 Singh, R. (2011). “Overconfidence in Financial Decisions: A Critical Review”. IASMS Journal of Business Spectrum, 4 (02), 105-114 Singh, R., Tiwari, C., Kushwaha, N., & Bhattacharya, V. (2015), Performances of Carbon efficient indices in India, USA, Japan and Brazil: A Comparative Study. In Dutta, R. (ed). Baniz, (pp. 101-128). Sibsagar: Sibsagar Commerce College. Srivastava, A. (2010). “Are Asian Stock Markets Weak-Form Efficient: An Evidence from India”. Asia Pacific Business Review, 6(4), 5-11. Strong, N. (1994). “Modelling Abnormal Returns: A Review Article”. Journal of Business Finance and Accounting,19(4), 533-553. Tripathi, V., & Bhandari, V. (2012). “Green is good in Indian Stock Market”. Colombo Business Journal, 3(2), 27-45. UNT. ( 2014). Department of Geography. Retrieved on Febraury 1, 2014, from http://www.unt.edu/: http://geography.unt.edu/~wolverton/Normality%20Tests%20in%20SPSS.pdf, Accessed on 13 February 2015. Urrutia, J. L. (1995). “Tests of random walk and market efficiency for Latin American emerging equity markets”. Journal of financial research, 18(3), 299-309. Yen, G., & Lee, C. F. (2008). “Efficient market hypothesis (EMH): past, present and future”. Review of Pacific Basin Financial Markets and Policies, 11(02), 305-329.
آمار تعداد مشاهده مقاله: 2,593 تعداد دریافت فایل اصل مقاله: 1,812

سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب

پیوندهای مفید

پیوندهای مفید

اخبار و اعلانات

آمار

Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

Ball, R. (2009). “The Global Financial Crisis and the Efficient Market Hypothesis: What have we learned?” Journal of Applied Corporate Finance, 21(4), 8-16.

Borges, M. R. (2010). “Efficient Market Hypothesis in European Stock Markets.”The European Journal of Finance, 16(7), 711-726.

Bulkley, G., & Tonks, I. (1989). “Is the UK Equity Market Consistent with the “Efficient Markets” Model?” In A reappraisal of the efficiency of financial markets, Springer Berlin Heidelberg, pp. 433-451

Chao-Fu, C., Pandey, I. M. & Gupta, J. (1998). Is the Taiwan Stock Market Efficient? Working paper No. 1998-12-06. Indian Institute of Management, Ahmedabad

Chen, S. H., & Kuo, T. W. (2004). “Are Efficient Markets Really Efficient?Can Financial Econometric Tests Convince Machine-Learning People?” In Computational Intelligence in Economics and Finance, Springer Berlin Heidelberg, pp. 288-296.

Dockery, E., & Kavussanos, M. G. (1996). “Testing the Efficient Market Hypothesis using Panel Data, with application to the Athens stock market.” Applied Economics Letters, 3(2), 121-123.

Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance.” Journal of financial economics, 49(3), 283-306.

Islam, S. M., & Watanapalachaikul, S. (2005). “Market Efficiency Models and Tests”. Empirical Finance, Physica-Verlag HD, pp. 53-63.

Kenourgios, D., Samitas, A., & Christodoulou, A. (2006). “Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen”. Operational Research, 6(2), 163-182.

Kratz, O. S. (1999). “Market Efficiency in Frontier Emerging Markets”. Frontier Emerging Equity Markets Securities Price Behavior and Valuation, 17-47.

Levy, E., & Nobay, A. R. (1986). “The speculative efficiency hypothesis: A bivariate analysis”. The Economic Journal, 96, 109-121.

Malkiel, B. G. (2003). “The efficient market hypothesis and its critics”. Journal of Economic Perspectives, 17(1), 59-82.

Miclăuş, P. G., Lupu, R., Dumitrescu, S. A., & Bobirca, A. (2008). “Testing the efficiency of the European carbon futures market using event-study methodology”. International Journal of Energy and Environment, 2(2), 121-128.

Shmilovici, A., Alon-Brimer, Y., & Hauser, S. (2003). “Using a stochastic complexity measure to check the efficient market hypothesis”. Computational Economics, 22(2-3), 273-284.

Siering, M., &Muntermann, J. (2013). “The Role of Misbehavior in Efficient Financial Markets: Implications for Financial Decision Support”, In Enterprise Applications and Services in the Finance Industry (pp. 42-58). Springer Berlin Heidelberg.

Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67^th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014

Singh, R., Tiwari, C., Kushwaha, N., & Bhattacharya, V. (2015), Performances of Carbon efficient indices in India, USA, Japan and Brazil: A Comparative Study. In Dutta, R. (ed). Baniz, (pp. 101-128). Sibsagar: Sibsagar Commerce College.

پیوندهای مفید

پیوندهای مفید

اخبار و اعلانات

آمار

Testing the weak form of efficient market hypothesis in carbon efficient stock indices along with their benchmark indices in select countries

Ball, R. (2009). “The Global Financial Crisis and the Efficient Market Hypothesis: What have we learned?” Journal of Applied Corporate Finance, 21(4), 8-16.

Borges, M. R. (2010). “Efficient Market Hypothesis in European Stock Markets.”The European Journal of Finance, 16(7), 711-726.

Bulkley, G., & Tonks, I. (1989). “Is the UK Equity Market Consistent with the “Efficient Markets” Model?” In A reappraisal of the efficiency of financial markets, Springer Berlin Heidelberg, pp. 433-451

Chao-Fu, C., Pandey, I. M. & Gupta, J. (1998). Is the Taiwan Stock Market Efficient? Working paper No. 1998-12-06. Indian Institute of Management, Ahmedabad

Chen, S. H., & Kuo, T. W. (2004). “Are Efficient Markets Really Efficient?Can Financial Econometric Tests Convince Machine-Learning People?” In Computational Intelligence in Economics and Finance, Springer Berlin Heidelberg, pp. 288-296.

Dockery, E., & Kavussanos, M. G. (1996). “Testing the Efficient Market Hypothesis using Panel Data, with application to the Athens stock market.” Applied Economics Letters, 3(2), 121-123.

Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance.” Journal of financial economics, 49(3), 283-306.

Islam, S. M., & Watanapalachaikul, S. (2005). “Market Efficiency Models and Tests”. Empirical Finance, Physica-Verlag HD, pp. 53-63.

Kenourgios, D., Samitas, A., & Christodoulou, A. (2006). “Long run and short run test for market efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen”. Operational Research, 6(2), 163-182.

Kratz, O. S. (1999). “Market Efficiency in Frontier Emerging Markets”. Frontier Emerging Equity Markets Securities Price Behavior and Valuation, 17-47.

Levy, E., & Nobay, A. R. (1986). “The speculative efficiency hypothesis: A bivariate analysis”. The Economic Journal, 96, 109-121.

Malkiel, B. G. (2003). “The efficient market hypothesis and its critics”. Journal of Economic Perspectives, 17(1), 59-82.

Miclăuş, P. G., Lupu, R., Dumitrescu, S. A., & Bobirca, A. (2008). “Testing the efficiency of the European carbon futures market using event-study methodology”. International Journal of Energy and Environment, 2(2), 121-128.

Shmilovici, A., Alon-Brimer, Y., & Hauser, S. (2003). “Using a stochastic complexity measure to check the efficient market hypothesis”. Computational Economics, 22(2-3), 273-284.

Siering, M., &Muntermann, J. (2013). “The Role of Misbehavior in Efficient Financial Markets: Implications for Financial Decision Support”, In Enterprise Applications and Services in the Finance Industry (pp. 42-58). Springer Berlin Heidelberg.

Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014

Singh, R., Tiwari, C., Kushwaha, N., & Bhattacharya, V. (2015), Performances of Carbon efficient indices in India, USA, Japan and Brazil: A Comparative Study. In Dutta, R. (ed). Baniz, (pp. 101-128). Sibsagar: Sibsagar Commerce College.

Singh, R, Mazumder, S & Tiwari, C. (2014), “Testing the Efficiency of Islamic Equity Index: A Comparative Study of Nifty 50 and SHA 50”, paper presented at 67^th All India Commerce Conference organized at KIIT, Bhubaneswar on 27-29 December, 2014