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Stock market efficiency of Ukraine, China and Russia in comparison to USA.

Pavlov, Oleksandr LU and Yang, Jing (2010) NEKM01 20101
Department 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.
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author
Pavlov, Oleksandr LU and Yang, Jing
supervisor
organization
course
NEKM01 20101
year
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},
  keyword      = {Ukraine,Russia,China,USA,Stock market Efficiency,Econometric 
Methodology.},
  language     = {eng},
  note         = {Student Paper},
  title        = {Stock market efficiency of Ukraine, China and Russia in comparison to USA.},
  year         = {2010},
}