Evolución y eficiencia relativa de los mercados bursátiles de MENA: evidencia de pruebas de índice de varianza conjunta móvil
Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests
DOI:
https://doi.org/10.29105/ensayos33.1-4Palabras clave:
Hipótesis de Caminata Aleatoria, Eficiencia del Mercado de Valores, Pruebas de Cociente de Varianza, Bootstrap, Oriente Medio y África del NorteResumen
Múltiples pruebas de cociente de varianza, con el procedimiento de desplazamiento de periodos (rolling window), se aplicaron a datos semanales (expresados en moneda local y dólares de los E.E.U.U.) para cinco mercados bursátiles en la región de Medio Oriente y África del Norte (MOAN), durante 1995-2009. Los resultados indicaron que los mercados bursátiles de Israel y Turquía, grandes y con alta liquidez, están clasificados como los más eficientes. Los mercados egipcios y marroquíes convergieron hacia la eficiencia en el año 2002, debido a notables mejoras en la difusión de información y liquidez, mientras que el mercado jordano había restaurado su eficiencia al final del periodo de estudio. Los tipos de cambio no participaron en la determinación de la dinámica de las ganancias accionarias en los mercados de capital que fueron examinados.
Descargas
Citas
Ahmed, A. A. (2011).Empirical Testing for Martingale Property: Evidence from the Egyptian and Some Selected MENA Stock Exchanges. (PhD thesis). Department of Economics, University of Leicester.
Ahmed, A. A. (2013). “Does the Egyptian Stock Exchange Follow a Random Walk? An Empirical Analysis”. Journal of Emerging Issues in Economics, Finance and Banking (JEIEFB), 1(5), 505–536.
Al-Khazali, O. M., Dingand, D. K., and Pyun, C. S. (2007). “A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit”. Financial Review, 42, 303–317. DOI: https://doi.org/10.1111/j.1540-6288.2007.00173.x
Auer, B. R., and Schuster, M. (2011). “Does the Financial Crisis Influence the Random Walk Behaviour of International Stock Markets?”. Applied Economics Letters, 18(4), 319-323. DOI: https://doi.org/10.1080/13504851003670676
Belaire-Franch, J., and Contreras, D. (2004). “Ranks and Signs-based Multiple Variance Ratio Tests”. Working paper, Department of Economic Analysis, University of Valencia.
Buguk, C., and Brorsen, W. B (2003). “Testing Weak-Form Market Efficiency: Evidence from the Istanbul Stock Exchange”. International Review of Financial Analysis, 12, 579-590. DOI: https://doi.org/10.1016/S1057-5219(03)00065-6
Campbell, J. Y., Lo, A. W., and MacKinlay, A. C. (1997). The Econometrics of Financial Markets. Princeton University Press. DOI: https://doi.org/10.1515/9781400830213
Chang, K. P., and Ting, K. S. (2000). “A Variance Ratio Test of the Random Walk Hypothesis of Taiwan’s Stock Market”. Applied Financial Economics, 10, 525–532. DOI: https://doi.org/10.1080/096031000416406
Charles, A., and Darné, O. (2009). “Variance-ratio tests of random walk: an overview”. Journal of Economic Surveys, 23, 503–527. DOI: https://doi.org/10.1111/j.1467-6419.2008.00570.x
Chow, K. V., and Denning, K. C. (1993). “A Simple Variance Ratio Test”. Journal of Econometrics, 58, 338-401. DOI: https://doi.org/10.1016/0304-4076(93)90051-6
Claessens, S., Dasgupta, S., and Geln, J. (1995). “Return Behaviour in Emerging Stock Markets”. The World Bank Economic Review, 9(1), 131-151. DOI: https://doi.org/10.1093/wber/9.1.131
Cootner, P. (1962). “Stock prices: Random vs. Systematic Changes”. Industrial Management Review, 3, 24–45.
Emerson, R., Hall, S. G., and Zalewska- Mitura, A. (1997). “Evolving Market Efficiency with an Application to Some Bulgarian Shares”. Economics of Planning, 30, 75–90. DOI: https://doi.org/10.1023/A:1003053807165
Fama, E. F. (1965). “The Behaviour of Stock Market Prices”. Journal of Business, 37, 34-105. DOI: https://doi.org/10.1086/294743
Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”. Journal of Finance, 25, 383–417. DOI: https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
Fama, E. F. (1991). “Efficient Market Hypothesis II”. Journal of Finance, 46(5), 1575-1617. DOI: https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Fawzy, S. (2003). “Assessment of Corporate Governance in Egypt”. The Egyptian Centre for Economic Studies, Working Paper No. 82. DOI: https://doi.org/10.21608/ejar.2004.275277
Füss, R. (2005). “Financial Liberalization and Stock Price Behaviour in Asian Emerging Markets”. Economic Change and Restructuring, 38, 37-62. DOI: https://doi.org/10.1007/s10644-005-4522-6
Ghysels, E., and Cherkaoui, M. (2003). “Emerging Markets and Trading Costs: Lessons from Casablanca”. Journal of Empirical Finance, 10, 169- 198. DOI: https://doi.org/10.1016/S0927-5398(02)00026-9
Haque, M., Hassan, M. K., Maroney, N. C., and Sackley, W. H. (2004). “An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets”. Review of Middle East Economics and Finance, 2(1), 19-42. DOI: https://doi.org/10.1080/14753680410001685669
Hoque, A., Kim, J. H., and Chong, S-P. (2007). “A Comparison of Variance Ratio Tests of Random Walk: A Case of Asian Emerging Stock Markets”. International Review of Economics and Finance, 16, 488-502. DOI: https://doi.org/10.1016/j.iref.2006.01.001
Israel Securities Authority (2008). “Israel: Self-Assessment According to Methodology for Assessing the Implementation of the OECD Principles on Corporate Governance”. Israel.
Jefferis, K., and Smith, G. (2004). “Capitalisation and Weak-form Efficiency in the JSE Securities Exchange”. South African Journal of Economics, 72, 684–707. DOI: https://doi.org/10.1111/j.1813-6982.2004.tb00130.x
Karemera, D., Ojah, K., and Cole, J. A. (1999). “Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets”. Review of Quantitative Finance and Accounting, 13, 171-188. DOI: https://doi.org/10.1023/A:1008399910942
Kawakatsu, H. and Morey, M. R. (1999a). “An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices”. Journal of Financial Research, 22, 385-411. DOI: https://doi.org/10.1111/j.1475-6803.1999.tb00702.x
Kawakatsu, H. and Morey, M. R. (1999b). “Financial Liberalization and Stock Market Efficiency: An Empirical Examination of Nine Emerging Market Countries”. Journal of Multinational Financial Management, 9, 353-371. DOI: https://doi.org/10.1016/S1042-444X(99)00007-9
Kendall, M. G. (1953). “The analysis of economic time-series—Part I: Prices”. Journal of the Royal Statistical Society Series A (General), 116(1), 11–25. DOI: https://doi.org/10.2307/2980947
Kim, J. H. (2004). “Testing for the Martingale Hypothesis in Asian Stock Prices: Evidence from a New Joint Variance Ratio”. Econometric Society Australasian Meetings.
Kim, J. H (2006). “Wild Bootstrapping Variance Ratio Tests”. Economic Letters, 92, 38-43. DOI: https://doi.org/10.1016/j.econlet.2006.01.007
Kim, J. H., and Shamsuddin, A. (2008). “Are Asian Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests”. Journal of Empirical Finance, 15, 518-532. DOI: https://doi.org/10.1016/j.jempfin.2007.07.001
Kim, E. H., and Singal, V. (2000a). “The Fear of Globalizing Capital Markets”. Emerging Markets Review, 1, 183–198. DOI: https://doi.org/10.1016/S1566-0141(00)00014-5
Kim, E. H., and Singal, V. (2000b). “Stock Market Openings: Experience of Emerging Economies”. Journal of Business, 73, 25–66. DOI: https://doi.org/10.1086/209631
Lagoarde-Segot, T., and Lucey, B. M. (2008).“Efficiency from Emerging Markets: Evidence from the MENA region”. Journal of International Financial Markets, Institutions and Money, 18, 94-105. DOI: https://doi.org/10.1016/j.intfin.2006.06.003
Lim, K. P., and Brooks, R. (2011). “The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature”. Journal of Economic Surveys, 25(1), 69-108. DOI: https://doi.org/10.1111/j.1467-6419.2009.00611.x
Lo, A. W., and MacKinlay, A. C. (1988). “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test”. Review of Financial Studies, 1, 41-66. DOI: https://doi.org/10.1093/rfs/1.1.41
Mecagni, M., and Sourial, M. S. (1999). “The Egyptian Stock Market: Efficiency Tests and Volatility Effects”. International Monetary Fund, Working Papers 99/48. DOI: https://doi.org/10.5089/9781451846720.001
Naidu, G. N., and Rozeff, M.S. (1994). “Volume, Volatility, Liquidity and Efficiency of the Singapore Stock Exchange before and after Automation”. Pacific-Basin Finance Journal, 2, 23–42. DOI: https://doi.org/10.1016/0927-538X(94)90027-2
OECD (2006). Corporate Governance in Turkey: A Pilot Study. OECD Publishing. DOI: https://doi.org/10.1787/9789264028647-en
Patro, D. K., and Wu, Y. (2004). “Predictability of Short-Horizon Returns in International Equity Markets”. Journal of Empirical Finance, 11, 553-584. DOI: https://doi.org/10.1016/j.jempfin.2004.02.003
Poterba, J. M., and Summers, L. H. (1988). “Mean reversion in stock prices: Evidence and implications”. Journal of Financial Economics, 22(1), 27–59. DOI: https://doi.org/10.1016/0304-405X(88)90021-9
Ryoo, H-J., and Smith, G. (2002). “Korean Stock Prices under Price Limits: Variance Ratio Tests of Random Walks”. Applied Financial Economics, 12(8), 543-51. DOI: https://doi.org/10.1080/09603100010015789
Saadi-Sedik, T., and Petri, M. (2006), “The Jordanian Stock Market: Should You Invest in It for Risk Diversification or Performance?”. International Monetary Fund, IMF Working Paper WP/06/187. DOI: https://doi.org/10.5089/9781451864472.001
Sioud, O. B., and Hmaied, D. M. (2003). “The effect of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market”. Review of Middle East Economics and Finance, 1(2), 141-154. DOI: https://doi.org/10.1080/1475368032000139288
Smith, G. (2007). “Random walks in Middle Eastern stock markets”. Applied Financial Economics, 17, 587-596. DOI: https://doi.org/10.1080/09603100600911200
Smith, G. (2008). “Liquidity and the Informational Efficiency of African Stock Markets”. South African Journal of Economics, 76(2), 161-175. DOI: https://doi.org/10.1111/j.1813-6982.2008.00171.x
Smith, G. (2009). “Martingales in European Emerging Stock Markets: Size, Liquidity and Market Quality”. The European Journal of Finance, 15(3), 249 -262. DOI: https://doi.org/10.1080/13518470802423262
Smith, G., Jefferis, K., and Ryoo, H. J. (2002). “African Stock Markets: Multiple Variance Ratio Tests of Random Walks”. Applied Financial Economics, 12(7), 475-484. DOI: https://doi.org/10.1080/09603100010009957
World Bank ( 2001). “Report on the Observance of Standards and Codes (ROSC): Corporate Governance Country Assessment: Arab Republic of Egypt”. World Bank: Washington D.C.
World Bank (2004). “Corporate Governance Country Assessment: Egypt”. Report on the Observance of Standards and Codes (ROSC). World Bank: Washington D.C.
Wright, J. H. (2000). “Alternative Variance-Ratio Tests Using Ranks and Signs”. Journal of Business and Economic statistics, 18(1), 1-9. DOI: https://doi.org/10.1080/07350015.2000.10524842
Yilmaz, K. (1999). “Market Development and Efficiency in Emerging Stock Markets”. Koc University, Istanbul, Turkey.
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Derechos de autor 2014 Amira Akl Ahmed
![Creative Commons License](http://i.creativecommons.org/l/by/4.0/88x31.png)
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.