Runs Test

The unparalleled rate in population explosion and advancements in technology has created alarming impacts on the society. This has urged the need for vigilant and efficient data mining of these phenomena. Petroleum being an indispensible part of life has escorted to several detrimental results. Air and water are the major elements which fall prey to this. The present study involves rigorous scrutinizing with statistical analysis of test data carried out on water samples collected from petrol pumps and automobile service stations for the determination of nature of configuration. The samples were collected at regular time intervals and at the fixed place irrespective of the weather and climatic conditions that prevailed. The haphazardness or fuzziness of the amount of contamination present in water recipients due to petroleum products is being evaluated using regression analysis and the runs test. It is found that organic and inorganic chemicals are more in the collected sample that l...

Efficiency of markets has been much debated and theory evolved from the efficient market hypothesis (EMH) in its three forms to the adaptive market hypothesis (AMH). We study the US technology sector, finding that stocks traded inefficiently during the financial crisis and rejecting the conventional all-or-nothing EMH in favour of the AMH. We also analyse Bitcoin, rejecting a move-to-efficiency as suggested by EMH literature and showing support for the AMH. Finally, we apply an original Double Runs Test to high-frequency Bitcoin prices to develop the notion of sticky efficiency and show that it exists in the Bitcoin market.

Speed of stock price response is important because if response is slow, the informed and alert investors would exploit it to earn abnormal returns by outperforming the market. This implies that market is inefficient in the semi-strong form. The study tests the reaction Indian stock market reaction to June 2014 quarterly financial results announcement. The study is based on 98 companies. The researcher used event study methodology. The behaviour of average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) are examined for 30 days prior to and 31 days after the announcement of quarterly financial results. Runs test, sign test and t-test statistics on AARs are statistically not significant. However, t-values on CAARs are statistically significant. Therefore, we conclude that Indian stock market is not efficient in the semi-strong form.

This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a predictable component, thus suggesting that traders can earn superior returns by employing trading rules. The statistically significant deviations from randomness are also suggestive of suboptimal allocation of investment capital within the economy. The findings, in general, contradict the weak-form of the efficient markets hypothesis. Finally, a range of policy strategies for improving the allocative capacity and quality of the information environment of the NSE are discussed.

Further evidence on efficiency of Bahrain Bourse: A high challenge for other industries The purpose of the present study is to provide further evidence of the weak form efficiency of the Bahrain Bourse. The research methodology is based on daily closing index values of the Bahrain Bourse from 2011 to 2015 in order to test the efficiency of the stock market while runs test, Autocorrelation Function, and advance tools such as ARCH and GARCH models and Hurst Index to provide further evidence of the weak form efficiency of the Bahrain stock market. For instance, a volatile and inefficient stock market has a negative impact on textile and apparel industry in the Kingdom of Bahrain, which is one of the most prosperous and attractive industries in the country. The empirical results revealed that Bahrain stock market does not follow normal distribution and the successive price changes are not independent. Further, ARCH effect is significant and indicative of a time-varying conditional volatility. There is an arbitrage opportunity and extreme mispricing in the Bahrain stock market as indicated by the GARCH (1, 1) model. The results of the Hurst exponent also confirm the inefficiency of the market. The results of these tests are consistent indicating that the Bahrain stock market is inefficient.

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.

his study evaluated Tehran Stock Exchange (TSE) as one of the financial markets in Iran from 2004 to 2012. Since stock exchange institutes are the main factors which determine the economic growth, inflation, fluctuation and the decline for any country, the present study evaluation the role of Tehran stock market in Iranian marketing and business system in TSE. Research problem focuses on the discovering of the enterprise in a period of time which covered the recent decade. Theoretical background of this study may refer to . who deal with the efficiency of the stock market as a determining factor in measuring the assets and legal bonds. Design of the study is ex-post facto and data were collected from the TSE web site. Data were analyzed through KS and Runs tests to find out the normality of data. Then the correlation analysis evaluated weak efficiency of the TSE in the period of the recent decade. Results showed that there was not a significant growth in the previous decade and TSE lacked economic growth and efficiently at the weak level. Implications of the study suggest that the internal factors (e.g., inflation, lack of investment, information transparency, etc) and outside factors (foreign investment, sanctions, threats, etc) may affect such a problem. The TSE should consider these issues and adjust its strategies to make a balance to cope with such problems in a smooth way.

The unparalleled rate in population explosion and advancements in technology has created alarming impacts on the society. This has urged the need for vigilant and efficient data mining of these phenomena. Petroleum being an indispensible part of life has escorted to several detrimental results. Air and water are the major elements which fall prey to this. The present study involves rigorous scrutinizing with statistical analysis of test data carried out on water samples collected from petrol pumps and automobile service stations for the determination of nature of configuration. The samples were collected at regular time intervals and at the fixed place irrespective of the weather and climatic conditions that prevailed. The haphazardness or fuzziness of the amount of contamination present in water recipients due to petroleum products is being evaluated using regression analysis and the runs test. It is found that organic and inorganic chemicals are more in the collected sample that l...

The paper attempts to investigate the validity of the Efficient Market Hypothesis on the Indian Securities Market. Initially, the paper discusses the definitions and types of the EMH, as also the literature available on the same. Taking a sample of eleven securities listed on the Bombay Stock Exchange (BSE), the oldest stock exchange of Asia, we apply the runs tests and the autocorrelation tests in order to judge the efficiency of the Stock Markets. The Autocorrelation test when directly applied to share prices gives conflicting results with Runs test and thus, making it difficult to reach a definite conclusion. Then, the autocorrelation test is applied to first differenced series, which gives satisfactory results. In a nutshell, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the share price data as the current share prices already reflect the effect of past share prices.