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首页> 外文期刊>International Journal of Accounting, Finance and Risk Management >Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets
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Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets

机译：测试高效市场假设的弱形式：股票市场的经验证据

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摘要

The aim of this paper is to analyse integration and test the hypothesis of an efficient market, in its weak form, in sixteen international financial markets. The sample covers the period from January 2002 to July 2019 and is divided into three sub-periods. In order to achieve such an analysis, the aim is to provide answers to two questions. Has the global financial crisis intensified the financial integration of international markets? If there is a process of mean-reversion in the international stock markets, with arbitrage, the hypothesis of portfolio diversification will be feasible? The results suggest that the global financial crisis has intensified the integration level of international financial markets. Regarding random walk and market efficiency hypotheses, in its weak form, the results suggest the existence of a mean-reversion and the rejection of the hypothesis of information efficiency, in its weak form, in developed and emerging markets, European and non-European. In terms of portfolio diversification analysis, we see that levels of financial integration decreased significantly in the sub-period following the global financial crisis, namely with its respective benchmarks, such as the US market, Japan and Hong Kong. We can assess the existence of feasible diversification opportunities in the long term.
机译：本文的目的是分析十六国际金融市场的弱势形式的一体化和测试高效市场的假设。该样品涵盖了2002年1月至2019年7月的期间，分为三个子期。为了实现这样的分析，目的是为两个问题提供答案。全球金融危机是否加强了国际市场的金融融合？如果在国际股市中有平均逆转，则套利，产品组合多样化的假设将是可行的？结果表明，全球金融危机加剧了国际金融市场的一体化水平。关于随机步行和市场效率假设，在其弱势形式下，结果表明，在发达国家和新兴市场，欧洲和非欧洲，欧洲和非欧洲，欧洲和非欧洲的薄弱形式，结果表明，结果表明，结果表明存在平均逆转和拒绝信息效率的假设。在投资组合多样化分析方面，我们认为全球金融危机后的子期间的金融整合水平显着下降，即其各自的基准，例如美国市场，日本和香港。我们可以在长期内评估可行的多样化机会的存在。

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