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Are Emerging Financial Markets Efficient? Some Evidence from the Models of the Ghanaian Stock Exchange

作　者: ALBERT LAURENT SACKABUTU（罗伦特）
导　师: Chen Yi Qing
学　校: 南昌大学
专　业: Masters in Business Administration
关键词: Ghanaian Stock Market Efficient Market Hypothesis Emerging Stock Markets Financial Systems Run Test and Auto Correlation Function Test
分类号: F224
类　型: 硕士论文
年　份: 2011年
下　载: 2次
引　用: 0次
阅　读: 论文下载

内容摘要

The study of stock market efficiency has been the objective of many researches across the globe since the last few decades. However, the evidence is mixed on whether the stock market is efficient. While some studies conclude that the stock markets are efficient, other studies cast doubt on this conclusion. In addition, efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the issue. Stock market efficiency suggests that stock prices incorporate all relevant information when that information is readily available and widely disseminated, which implies that there is no systematic way to exploit trading opportunities and acquire excess profits. This paper in an attempt to provide some empirical evidence on the efficiency of an emerging stock market that is the Ghanaian stock market, considers an overall trading period from 1989 to 2010, which is further divided into pre-crisis (1997-2001) and post-crisis (2002-2007). The paper proposes a theory-free paradigm of non-parametric tests of market efficiency of the Ghanaian stock market, consisting of two tests, which are run-test, and autocorrelation function tests (ACF), to establish a more definitive conclusion about the efficient market hypothesis (EMH) in emerging financial markets. The result of this research demonstrates that an autocorrelation on Ghanaian stock market returns exists particularly during the post-crisis period. The inefficiency of the Ghanaian stock market follows on from the violation of the necessary conditions for an efficient market with a developed financial system and also implies financial and institutional imperfections.

全文目录

ABSTRACT  4-5
Declaration of Authorship  5-6
Dedication  6-7
Acknowledgments  7-10
List of Figures,Tables and Picture  10-11
Notation  11-12
CHAPTER ONE-INTRODUCTION  12-15
CHAPTER TWO  15-48
  2.1 The Concept of Efficiency  15-18
  2.2 The Random Walk Model  18-20
  2.3 Classification of Market Efficiency  20-23
    2.3.1 Weak Form Market Efficiency  20-21
    2.3.2 Semi-Strong-Form Market Efficiency  21-22
    2.3.3 Strong Form Efficiency  22-23
  2.4 New Classification for Market Efficiency  23-24
  2.5 Event Studies  24-25
  2.6 Capital Asset Pricing Model(CAPM)  25-32
  2.7 Stock Market Anomalies  32-39
    2.7.1 Value,Size and Other Regularities  32-34
    2.7.2 Tests of Fundamental Valuation  34-36
    2.7.3 Tests of Overreaction and Under Reaction  36-37
    2.7.4 Time Pattern  37-39
  2.8 EMH and Time Series Behaviour  39-41
  2.9 Market Microstructure  41-42
  2.10 Problems in Testing Market Efficiency  42-44
  2.11 Summary and Formal Definition of the Concept  44-48
CHAPTER THREE-DATA AND METHODOLOGY  48-51
  3.1 Data Sourceand Classification  48
  3.3 Non-Parametric Tests of Market Efficiency  48-51
    3.3.1 Run Test  49-50
    3.3.2 Auto Correlation Function Test  50-51
CHAPTER FOUR-RESULTS AND FINDING  51-57
  4.1 ACF Results of Daily Returns  56-57
CHAPTER FIVE-SUMMARY AND CONCLUSIONS  57-61
  5.1 Summary  57-58
  5.2 Conclusion  58-61
REFERENCES  61-70

Are Emerging Financial Markets Efficient? Some Evidence from the Models of the Ghanaian Stock Exchange

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