Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse
Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the pe...
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doaj-c92557183fba4a08ae5f554fe489ae3f2020-11-25T02:08:46ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations 1810-49671812-93582017-08-0114237638510.21511/imfi.14(2-2).2017.099009Testing of weak form of efficient market hypothesis: evidence from the Bahrain BourseIqbal Thonse Hawaldar 0Babitha Rohit1Prakash Pinto2Professor, Department of Accounting and Finance, College of Business Administration, Kingdom UniversityAssistant Professor, Department of Business Administration, St. Joseph Engineering College, Mangalore, KarnatakaProfessor and Dean, Department of Business Administration, St. Joseph Engineering College, Mangalore, KarnatakaEfficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9009/imfi_2017_02cont2_Hawaldar.pdfautocorrelation testefficient market hypothesisrandom walkrun test |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Iqbal Thonse Hawaldar Babitha Rohit Prakash Pinto |
spellingShingle |
Iqbal Thonse Hawaldar Babitha Rohit Prakash Pinto Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse Investment Management & Financial Innovations autocorrelation test efficient market hypothesis random walk run test |
author_facet |
Iqbal Thonse Hawaldar Babitha Rohit Prakash Pinto |
author_sort |
Iqbal Thonse Hawaldar |
title |
Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse |
title_short |
Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse |
title_full |
Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse |
title_fullStr |
Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse |
title_full_unstemmed |
Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse |
title_sort |
testing of weak form of efficient market hypothesis: evidence from the bahrain bourse |
publisher |
LLC "CPC "Business Perspectives" |
series |
Investment Management & Financial Innovations |
issn |
1810-4967 1812-9358 |
publishDate |
2017-08-01 |
description |
Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse. |
topic |
autocorrelation test efficient market hypothesis random walk run test |
url |
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/9009/imfi_2017_02cont2_Hawaldar.pdf |
work_keys_str_mv |
AT iqbalthonsehawaldar testingofweakformofefficientmarkethypothesisevidencefromthebahrainbourse AT babitharohit testingofweakformofefficientmarkethypothesisevidencefromthebahrainbourse AT prakashpinto testingofweakformofefficientmarkethypothesisevidencefromthebahrainbourse |
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1724925512657141760 |