Stock market efficiency of Ukraine, China and Russia in comparison to USA.
(2010) NEKM01 20101Department of Economics
- Abstract
- This thesis test weak form efficiency in the stock markets of Ukraine, Russian, and China and compare the efficiency with USA stock market.
We employ Distribution test, Unit root test, Runs test, ARMA test and GARCH test to estimate the efficiency of the above four stock markets. In our study, we find that under unit root test and runs test, all of the four stock markets are not weak-form efficient. On the basis of ACF test, NYSE, PFTS and SSE are not weak-form efficient.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1612586
- author
- Pavlov, Oleksandr LU and Yang, Jing
- supervisor
- organization
- course
- NEKM01 20101
- year
- 2010
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Ukraine, Russia, China, USA, Stock market Efficiency, Econometric Methodology.
- language
- English
- id
- 1612586
- date added to LUP
- 2010-06-09 11:52:23
- date last changed
- 2010-06-09 11:52:23
@misc{1612586, abstract = {{This thesis test weak form efficiency in the stock markets of Ukraine, Russian, and China and compare the efficiency with USA stock market. We employ Distribution test, Unit root test, Runs test, ARMA test and GARCH test to estimate the efficiency of the above four stock markets. In our study, we find that under unit root test and runs test, all of the four stock markets are not weak-form efficient. On the basis of ACF test, NYSE, PFTS and SSE are not weak-form efficient.}}, author = {{Pavlov, Oleksandr and Yang, Jing}}, language = {{eng}}, note = {{Student Paper}}, title = {{Stock market efficiency of Ukraine, China and Russia in comparison to USA.}}, year = {{2010}}, }