Runs Test

In financial risk management, whether for national and international entities, or within a firm, it is important to be able to decide what risks are altered by past experience (or intervention of a central banker at the national level, or a firm's risk manager at the employer level) and what risks do not vary over time (risks from intrinsic heterogeneity). Policies aimed at changing intrinsic risk will obviously not be cost effective, though tools for identifying such unchanging risks may help to minimize losses associated with those risks. This paper outlines a simple test that allows the researcher to distinguish these alternative risk types. We present our test in the context of patterns of workers' compensation lost day claims to test whether past experience explains repeated claims for some individuals, or whether some individuals exhibit an innate heterogeneity in claims-filing propensities. We find that a previous claim significantly increases claim probabilities in the future using easy to estimate and interpret "runs" tests on the claims. This suggests, for the risk management problem examined here, that early intervention to limit the effects of the first lost time claim may produce significant disability-cost savings with respect to future claims.

African financial markets accommodate fewer international investors due to several reasons including its weak status in the market efficiency hypothesis. Studies have confirmed this along the years; however, the slow but steady evolution in these markets can also be noticed. This study covers eight (8) African financial markets and tests them under weak form in the market's efficiency forms. This form has been divided into three (3) categories based on the random walk concept (RW3, RW2 and RW1). Results show that only two (2) markets-Johannesburg Stock Exchange (JSE) and Uganda Stock Exchange (USE)-were able to meet the criteria of RW1. Three (3) markets (Kenya Stock Exchange, Lusaka Stock Exchange and Mauritius Stock Exchange) have failed right at the lowest form of weak efficiency form and the remaining four (4) were taken to the next test (RW2). Two (2) of them (Bourse Regionale de Valeurs Mobiles-BRVM and Nigeria Stock Exchange-NSE) also failed and the highest weak efficient form (RW1) test was carried out under the remaining ones (Johannesburg Stock Exchange and Uganda Stock Exchange) which they again successfully passed.

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.

Bonus Announcement is a sign of good health of the company and investors of the company finds it attractive and invest based on such decision. The current study attempts to study the stock market reaction on share prices due to Bonus Announcement with reference to India. The present study uses event study methodology to measure the stock reaction near to announcement period. The abnormal returns are calculated using market model and market efficiency for Indian market is measured. The result shows positive returns prior to bonus announcement and shows semi strong form of efficiency of Indian Stock Market. The study also attempts to identify the factors that influences share price.

The weak-form efficiency of the Indian stock market: Fresh Evidence Numerous types of research have been done ever since the efficient market hypothesis notion was created to support or, in some cases, refute the theory. It is practically hard to predict future prices and turn a profit from them when it is clear that prices do, move randomly or drunkenly. On the other hand, if the outcome is the opposite of what was said above, there is a potential to profit simply by looking at a security price's historical behaviour. Because of this, economists and the general investing community are particularly interested in this topic. 901 T he primary goal of the present research initiative is to determine if the Indian stock market follows a random walk or not. The data on eight nifty sectoral indices' daily opening, closing, high and low values are taken from a website. The Augmented Dickey-Fuller test and the Phillips-Perron test is used to assessing the stationarity of the selected eight sectoral indices. The Variance ratio test is used to check for auto-correlation between the returns and the Runs test is performed to examine if the stock market followed a random walk or not. The unit root tests show that the returns from the eight selected sectoral indices are integrated into order 1. According to the variance ratio test future stock prices can be forecasted by prior stock prices in the Indian stock market. The Runs test results indicate the returns are not random throughout the studied time frame.

In financial risk management, whether for national and international entities, or within a firm, it is important to be able to decide what risks are altered by past experience (or intervention of a central banker at the national level, or a firm's risk manager at the employer level) and what risks do not vary over time (risks from intrinsic heterogeneity). Policies aimed at changing intrinsic risk will obviously not be cost effective, though tools for identifying such unchanging risks may help to minimize losses associated with those risks. This paper outlines a simple test that allows the researcher to distinguish these alternative risk types. We present our test in the context of patterns of workers' compensation lost day claims to test whether past experience explains repeated claims for some individuals, or whether some individuals exhibit an innate heterogeneity in claims-filing propensities. We find that a previous claim significantly increases claim probabilities in the future using easy to estimate and interpret "runs" tests on the claims. This suggests, for the risk management problem examined here, that early intervention to limit the effects of the first lost time claim may produce significant disability-cost savings with respect to future claims.

The study examines the level of inefficiency present in three different sectors of India. More specifically, it applies different estimation techniques to measure the level of efficiency across the agriculture, service and manufacturing sectors by choosing twenty stocks from each of them. Since there are multiple industries belonging to a particular sector, capturing the intra-industry differential in their efficiencies is also crucial. Presence of long range dependence and the time-varying efficiency across the industries belonging to different sectors have been tested. Then, the impact of recent macroeconomic event of Demonetization on these industries have been explored using six event windows. The results confirm that the impact of this event on the industry returns are mostly negative and significant. However, the magnitude of impact varies across industries depending on the level of demand uncertainty and their cash dependence. Finally, the robustness of our findings has been checked using fixed effect panel regression which further validates the results of the event study.

Earning reports are the primary basis of investment decisions among many individuals and fund managers. Any positive/negative adjustment on quarterly financial report could influence investment strategies, which consequently make significant change on market value. In this paper, we present an empirical study on some selected firms on Tehran Stock exchange by looking the effects of quarterly earning adjustment on firm and market's return. The proposed study selects all firms whose shares were actively and publicly traded over the period 2006-2011. The study investigates whether there is a meaningful relationship between the content of quarterly earnings report and stock price with/without the presence of control variables. The results have concluded that there are some meaningful relationships between change in earning and market value and return on firm with market value but market value seems to have no relationship with market return changes.

Earning reports are the primary basis of investment decisions among many individuals and fund managers. Any positive/negative adjustment on quarterly financial report could influence investment strategies, which consequently make significant change on market value. In this paper, we present an empirical study on some selected firms on Tehran Stock exchange by looking the effects of quarterly earning adjustment on firm and market's return. The proposed study selects all firms whose shares were actively and publicly traded over the period 2006-2011. The study investigates whether there is a meaningful relationship between the content of quarterly earnings report and stock price with/without the presence of control variables. The results have concluded that there are some meaningful relationships between change in earning and market value and return on firm with market value but market value seems to have no relationship with market return changes.

Investigating the impact of normal and abnormal loss factors in garment industry: A case study based on a jeans manufacturer in India This study aimed to analyse the normal and abnormal loss of a jeans manufacturing company in India. Personal interview and observation method are used in this study. Abnormal loss in quantity and rupee value is computed for 40 days of production based on the observed data. Mean abnormal losses are computed and one sample t-test is applied to test the hypotheses that the mean abnormal loss is not equal to zero. The study revealed that a normal loss of 3 to 5% is expected in any garment manufacturing company due to loss during the cutting and shrinkage process. The p-values of one sample t-test were less than 0.05 for all the tested hypotheses, hence, all the null hypotheses (H 01 to H 05 mean abnormal losses equal to zero) were rejected. Further, it was found that fabric is the big contributor in terms of abnormal loss. Hence, proper training for workers and recruiting of trained workers are advised to reduce abnormal losses.

This paper investigates the random walk behavior of real estate investment trust (REIT) subsectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine subsectors of lodging/resorts and self-storage and find that they do not follow a random walk, contradicting the weak-form efficient market hypothesis. Nonparametric runs tests help us find that office, industrial, mixed, free standing, shopping centers, apartments, manufactured homes, and timberland subsectors are weak-form efficient. The evidence in this study supports the idea that some subsectors are more informationally efficient than other subsectors.

The efficiency of a capital market is important if savers funds are to be channeled to the highest valued stocks. A recent review of markets in Africa categorized the Nairobi Securities Exchange as one which has no tendency towards weak form efficiency. According to the random walk hypothesis stock market prices evolve in a random pattern and can therefore not be predicted. The weak form hypothesis examines whether or not security prices fully reflect historical returns. The NSE has increasingly used Information and Communication Technology (ICT) in their operation which has improved the integrity of the exchange trading systems and facilitated greater access to the securities market. ICT gives investors and market makers the opportunity to access current information so as to make informed decisions and may help make the market more efficient. In an effort to establish efficiency of this market, we used non-parametric methods to establish the randomness of market returns at the NSE. The distribution of market returns appears normal although slightly negatively skewed and heavy tailed. The Q-Q and P-P plot also shows that the data approximates the normal distribution. The K-S and Runs test confirm that the data is not normally distributed which implies inefficiency in the weak form. This signifies market inefficiency of the weak form.

The efficient market hypothesis (EMH) is one of the main theories related to financial markets. This hypothesis is based on the idea that stock prices already reflect all available market information. In its weak form, the EMH states that future prices cannot be predicted by analyzing historical asset prices. This paper aims to test the effectiveness of environmental, social and governance (ESG) indices in the Middle East and North Africa region (MENA) and compare them with their conventional counterparts. The sample data covers the period from September 27 2018 to December 23 2021 in daily frequency. Our empirical approach is based on Hurst behavior using the R/S statistic. The results reject the market efficiency hypothesis for both ESG and conventional indices and show that these indices are significantly inefficient with persistent returns. In terms of the level of efficiency between the ESG and conventional indices, the study does not indicate significant differences.

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.

In order to study the performance capacity of African countries markets, it is necessary to analyze the daily results of stock indices. For a period of six years, and based on four types of tests namely: Autocorrelation tests, runs tests, unit root and normality tests, the results obtained in a period of 1674days (from03/04/2013 to 18/12/2020) have shown and reported a mixed production of different indications. On the other hand, and at the level of the weak sense of efficiency, the African market return series indicate the low efficiency of the market. Overall, it is inferred that in African countries, daily stock index results do not follow a random walk; So it is concluded that due to the inefficiency of the market, insiders can get profit streams from arbitrage. On the other side, the concept of efficiency designates the right foot of the theory of modern finance; As a result, one can only confirm the existence of efficiency in the market if it deciphers and manifests all the in...

Explain how the Efficient Market Hypothesis can help you as an Investment Analyst and or Portfolio Manager to undertake viable Investments either Individual ones or as portfolios that will drive the Zimbabwean Industry in particular and the economy at large. Support your explanation with empirical evidence and theories that find relevance.

The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e. banking & IT sector in Bombay stock exchange (BSE) by using average decline model. The average degeneration process in volatility has being used after very high and low stock returns. The results of this study explain significant decline in volatility fluctuations, attention, and level between epochs of pre and post particularly high stock returns.

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.

The weak-form efficiency of the Indian stock market: Fresh Evidence Numerous types of research have been done ever since the efficient market hypothesis notion was created to support or, in some cases, refute the theory. It is practically hard to predict future prices and turn a profit from them when it is clear that prices do, move randomly or drunkenly. On the other hand, if the outcome is the opposite of what was said above, there is a potential to profit simply by looking at a security price's historical behaviour. Because of this, economists and the general investing community are particularly interested in this topic. 901 T he primary goal of the present research initiative is to determine if the Indian stock market follows a random walk or not. The data on eight nifty sectoral indices' daily opening, closing, high and low values are taken from a website. The Augmented Dickey-Fuller test and the Phillips-Perron test is used to assessing the stationarity of the selected eight sectoral indices. The Variance ratio test is used to check for auto-correlation between the returns and the Runs test is performed to examine if the stock market followed a random walk or not. The unit root tests show that the returns from the eight selected sectoral indices are integrated into order 1. According to the variance ratio test future stock prices can be forecasted by prior stock prices in the Indian stock market. The Runs test results indicate the returns are not random throughout the studied time frame.

This study aims at testing the weak form of efficient market hypothesis in the Nigerian capital market. The scope of the study consist of all securities traded on the floor of the Nigerian Stock Exchange and the month end value of the All Share Index from 2001-2010 constitute the data analyzed. The serial correlation technique of data analysis was used to test for independence of successive price movement and the distributive pattern while runs test was used to test for randomness of share price movement. The result of the serial correlation shows that the correlation coefficients did not violate the two-standard error test. Furthermore, the Box-Ljung statistic shows that none of the serial correlation coefficients was significant and the Box pierce Q statistics shows that the overall significance of the serial correlation test was poor while the result of the distribution pattern shows that stock price movements are approximately normal. on the basis of this findings ,we conclude that successive price changes of stocks traded on the floor of the Nigerian Capital Market are independent and random therefore, the Nigerian Capital Market is efficient in the weak-form.

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.

This paper describes methods of the power law verification using different empirical data. We do not analyse the value of deviations from the model but try to found out whether these deviations are regular or random. The suggested approach is based on the idea of finding local power approximation of the considered series for each range of ranks, after which one or another trend criterion is applied to the obtained series of local exponents. Application of the runs test is also discussed. The suggested methods were tested using 10 sets of empirical data, which are available for free. It was shown that compliance with the power law is satisfactory only in one case.

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.

This paper evaluated the insurance sector of Nigeria Stock Exchange (NSE) for evidence weak-form efficiency using daily returns from January 2009 to February 2016. The study employs descriptive analysis, non-parametric runs test and autocorrelation function as well as Ljung-Box Q statistics in conducting the evaluation. Descriptive statistics of the insurance sector return series showed negative skewness and leptokurtic distribution. Estimates from the Jarque-Bera normality test showed that the insurance sector returns did not follow normal distribution. Results of the runs test reject null hypothesis of randomness in the return series of the insurance sector in the period studied. Furthermore, the autocorrelation functions and the Ljung-Box Q tests provide evidence of serial correlation in the stock returns of the insurance sector. Overall results from the study suggested that the insurance sector of NSE is not weak-form efficient. Consequently, technical analysis on the insurance sector of the NSE may not be fruitless.

The purpose of this paper is to investigate the efficiency of the Egyptian stock market. The paper is concerned with the weak form test of the efficient market hypothesis. If the evidence fails to pass the weak form test, there is no reason to examine strong forms before declaring the market inefficient on such evidence. In order to capture the institutional features of such a growing market (i.e., thin trading, low liquidity, and possibly less informed investors), a non-linear GARCH model is estimated. In addition, by investigating efficiency on a yearly basis we are able to examine impact of the market maturing and regulatory changes on the trading behavior and efficiency of that market. The results show that up to 1996 the market was inefficient, but the inefficiency manifested itself through non-linear behavior However, the results show that in 1997 the market is not characterized by predictability and is therefore informationally efficient.

This thesis reports several methods for automated analysis and interpretation of bone X-ray images. Automatic segmentation of the bone part in a digital X-ray image is a challenging problem because of its low contrast against the surrounding flesh. In this thesis, we propose a fully automated X-ray image segmentation technique, which is based on a variant of entropy measure of the image. We have also analyzed the geometric information embedded in the long-bone contour image to identify the presence of abnormalities in the bone and perform fracture detection, fracture classification, and bone cancer diagnosis.

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.

Combinando la teoría de rachas desarrollada por Corzo (1989) y la idea de Modarres & Gastwirth (1996), que utilizan el número de rachas que quedan después de recortar la sucesión dicotomizada, se proponen tres pruebas de rachas para la hipótesis de simetría. Utilizando la técnica de linealización de Taylor se aproxima el valor esperado y la varianza, y se realiza un estudio de aproximación de la distribución del estadístico por la distribución normal. Las pruebas propuestas son comparadas en términos de su potencia con algunas de las pruebas no paramétricas más recientes y comunes para dicho problema en tamaños de muestra n = 10(1)25, n = 30, n = 50(50)250 y n = 500. Para la comparación se utilizaron métodos de Monte Carlo, y las muestras fueron generadas de nueve distribuciones pertenecientes a la familia lambda generalizada (DLG). Las simulaciones indican que para una gran variedad de alternativas asimétricas las pruebas propuestas son más potentes que las pruebas existentes en la literatura. Palabras clave: distribución lambda generalizada, potencia, pruebas de rachas, pruebas para simetría.

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method  for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form.  In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its re...

This study aims at testing the weak form of efficient market hypothesis in the Nigerian capital market. The scope of the study consist of all securities traded on the floor of the Nigerian Stock Exchange and the month end value of the All Share Index from 2001-2010 constitute the data analyzed. The serial correlation technique of data analysis was used to test for independence of successive price movement and the distributive pattern while runs test was used to test for randomness of share price movement. The result of the serial correlation shows that the correlation coefficients did not violate the two-standard error test. Furthermore, the Box-Ljung statistic shows that none of the serial correlation coefficients was significant and the Box pierce Q statistics shows that the overall significance of the serial correlation test was poor while the result of the distribution pattern shows that stock price movements are approximately normal. on the basis of this findings ,we conclude that successive price changes of stocks traded on the floor of the Nigerian Capital Market are independent and random therefore, the Nigerian Capital Market is efficient in the weak-form.

This research study explores the diversification opportunity among 18 European stock market indices for the sample period from January 2001 to December 2019. However, financial education plays an important role in the development of the textile industry, considering the dynamics of the companies listed on the European stock exchanges. The correlation matrix, pairwise cointegration and Johansen cointegration reveal that selected 18 European stock market indices do not reduces the portfolio risk because exhibit higher positive correlation among them, and their movement pulsed in tandem. Potential investors are attracted by high investment opportunities in order to maximize their return based on portfolio diversification. Financial education can effectively contribute to the sustainable growth of the textile industry in Europe. This empirical research provides an integrated perspective on the long-term evolution of certain major European stock exchange indices. The findings have signif...

The Zimbabwean dollar lost its value and purpose as a medium of exchange as a result of the hyper inflation which had its greatest impact on the Zimbabwean economy between 2007 and 2008. The introduction of the multi-currency system, which entails the use of various foreign currencies to transact, resulted in the Zimbabwe Stock Exchange (ZSE) adopting the United States dollar (USD) as its main currency. The researchers investigated the weak form efficiency of the ZSE after introduction of the multi-currency system by testing if it is possible to create an excess return by the use of technical trading rules. According to the efficient market hypothesis (EMH) and the random walk theory, in an efficient market it is not possible to predict the future stock prices by analysing historical stock prices. The profitability of technical analysis and technical trading rules has been researched and debated extensively, but researchers are yet to reach a consensus. This article focuses exclusiv...

This paper evaluated the insurance sector of Nigeria Stock Exchange (NSE) for evidence weak-form efficiency using daily returns from January 2009 to February 2016. The study employs descriptive analysis, non-parametric runs test and autocorrelation function as well as Ljung-Box Q statistics in conducting the evaluation. Descriptive statistics of the insurance sector return series showed negative skewness and leptokurtic distribution. Estimates from the Jarque-Bera normality test showed that the insurance sector returns did not follow normal distribution. Results of the runs test reject null hypothesis of randomness in the return series of the insurance sector in the period studied. Furthermore, the autocorrelation functions and the Ljung-Box Q tests provide evidence of serial correlation in the stock returns of the insurance sector. Overall results from the study suggested that the insurance sector of NSE is not weak-form efficient. Consequently, technical analysis on the insurance sector of the NSE may not be fruitless.

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 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...

In the major stock markets of the world, it is the forces of demand and supply that set prices. There are hundreds of analysts and thousands of traders, receiving new information on a company through electronic and paper media. The Efficient Market Hypothesis (EMH) implies that if new information is revealed about a firm it will be incorporated into the share price rapidly and rationally, with respect to the direction of the share price movement and the size of that movement. Market efficiency is directly or implicitly tested in the study, which is performed to identify stock price reaction to certain events such as budget announcement and credit policy announcement. It can be studied under weak form, semi strong form and strong form of Efficient Market Hypothesis. This paper is an attempt to study the weak and semi strong form of hypothesis that the prices or movements in the share prices are affected by past and publicly available information. The present study examined the behavi...

This study examined whether the share prices of companies listed on the Zimbabwe Stock Exchange follow the Random Walk Hypothesis. The research was motivated by the fact that investors are interested in knowing whether past share prices have a propensity to forecast future share prices. The period covered by the research was January 2014 to December 2014. The main objective of the study investigated the possibility that share prices follow the Random Walk Hypothesis. The data was analysed using the Chisquare Test, the Runs Test and the Auto-correlation Test. The findings showed that changes in share prices on the ZSE refute the Random Walk Hypothesis. The study concluded that share price shifts follow some pattern or trend and that historical price changes can be used to predict future price movements. The study also concluded that the ZSE provides an opportunity for investors to create wealth as they take advantage of its weak-form inefficiency.

The Zimbabwean dollar lost its value and purpose as a medium of exchange as a result of the hyper inflation which had its greatest impact on the Zimbabwean economy between 2007 and 2008. The introduction of the multi-currency system, which entails the use of various foreign currencies to transact, resulted in the Zimbabwe Stock Exchange (ZSE) adopting the United States dollar (USD) as its main currency. The researchers investigated the weak form efficiency of the ZSE after introduction of the multi-currency system by testing if it is possible to create an excess return by the use of technical trading rules. According to the efficient market hypothesis (EMH) and the random walk theory, in an efficient market it is not possible to predict the future stock prices by analysing historical stock prices. The profitability of technical analysis and technical trading rules has been researched and debated extensively, but researchers are yet to reach a consensus. This article focuses exclusiv...

The weak form hypothesis has been pointed out as dealing with whether or not security prices fully reflect historical price or return information. To carry out this investigation with the Nigerian stock market data, we employed the run test and the correlogram/partial autocorrelation function as alternate forms of the research instrument. The results of the three alternate tests revealed that the Nigerian stock market is efficient in the weak form and therefore follows a random walk process. Thus, the opportunity of making excess returns in the market is ruled out.

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method  for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form.  In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its re...

Purpose-This research aimed to evaluate the predictability of moving-average strategies and examined the validity of the weak form of the efficient market hypothesis (EMH) for securities of banks listed in the Gulf Cooperation Council (GCC) stock markets of Bahrain, Kuwait, Qatar and Saudi Arabia. Design/methodology/approach-Several statistical analyses and eight moving-average rules were employed where buy and sell signals were produced by comparing a security price's short-and longterm moving averages. The study covered the daily closing share prices of 40 GCC-listed banks over the 18-year period ending 31 December 2017. Findings-The results suggest that securities of banks in the GCC were not weak-form efficient because share prices were predictable. Investors who traded using moving-average strategies could generate higher profits. Analysis of variance found that securities of Kuwaiti banks were the most efficiently priced. Practical implications-The findings supported the idea that profitability depended on the moving-average rules and country chosen. Transaction costs did not affect the returns obtained using different trading rules. Originality/value-This work facilitates future evaluation of accounting disclosure environments as well as the market efficiency and the performance of securities in the GCC countries. The performance of moving average rules among representative countries that share similar characteristics was analyzed. Different market participants, including investors, analysts and regulators, can benefit from this study for decision-making. These results suggest that new regulations might be drafted that would improve the timeliness of accounting information and the banks' level of efficiency.

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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.