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EFFICIENCY IN EMERGING MARKETS: APPLYING THE AUTOMATIC VARIANCE RATIO TEST

Everton Anger Cavalheiro, Kelmara Mendes Vieira, Paulo Sérgio Ceretta

DOI: 10.22495/cocv9i2c2art5

Abstract

This paper analyzes the efficiency of the market in its weak form, as proposed by Fama (1970), in 24 emerging countries, after the subprime crisis of 2007/2008. To answer the research problem, initially calculated the log return of the main contents of these countries. After we used the automatic variance ratio for small samples, as Kim (2006) and Kim (2009). The results indicate monthly market inefficiency for Chile, Hungary and Malaysia as well as demonstrated inefficiency, on a daily basis, for the Chilean, Egyptian, Filipino, Israeli, Jordanian, Malaysian, Mexican, Russian and Thai market.

Keywords: Market Efficiency, Emerging Markets, Automatic Variance Ratio

How to cite this paper: Cavalheiro, E. A., Vieira, K. M., & Ceretta, P. S. (2012). Efficiency in emerging markets: Applying the automatic variance ratio test. Corporate Ownership & Control, 9(2-2), 300-309. http://dx.doi.org/10.22495/cocv9i2c2art5

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