BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Ghimire Binam (Newcastle Business School, U.K.), Annussek Kolja (Newcastle Business School, U.K.), Harvey Jackie (Newcastle Business School, U.K.), Sharma Satish (Newcastle Business School, U.K.)
Title
Testing the Weak-Form Efficiency of Agriculture's Capital Markets
Source
Economics and Business Review, 2016, vol. 2 (16), nr 2, s. 3-17, tab., bibliogr. 39 poz.
Keyword
Rolnictwo, Efektywność rolnictwa
Agriculture, Efficiency in agriculture
Note
summ.
Abstract
This paper investigates the empirical validity of the weak-form Efficient Market Hypothesis [EMH] in global equity markets for agriculture. Authors examine whether developed agriculture markets are more efficient than emerging agriculture markets. The results of this work suggest that investors can achieve superior returns by investing in agricultural equity markets following a technical analysis and active portfolio approach. Thus this work is in great interest of investors and portfolio managers following an agriculture strategy. The study adds value to current research of market efficiency in developed as well as emerging markets. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Full text
Show
Bibliography
Show
  1. Adebayo, A.Q., 2013, Capital Market Efficiency: An Analysis of the Weak-Form Efficiency of the UK Stock Market, University of Salford, Manchester, http://www.academia. edu/1931406/CAPITAL_MARKET_EFFICIENCY_AN_ANALYSIS_OF_THE_ WEAK FORM_EFFICIENCY_OF_THE_U.K_STOCK_MARKET.
  2. Alajbeg, D., Bubas, Z., Sonje, V., 2012, The Efficient Market Hypothesis: Problems with Interpretations of Empirical Tests, Financial Theory and Practice, 36(1): 53-72.
  3. Andrew, C., Helen, H., 2010, Weak-form Market Efficiency in European Emerging and Developed Stock Markets, Journal of Economics, 1: 11-13.
  4. Asiri, B., 2008, Testing Weak-form Efficiency in the Bahrain Stock Market, International Journal of Emerging Markets, 3(1): 38-53.
  5. Bergdolt, C., Mittal, A., 2012, Betting on World Agriculture US Private Equity Managers Eye Agricultural Return, The Oakland Institute, Oakland, http://www.oaklandinstitute.org/sites/oaklandinstitute.org/files/OI_report_Betting_on_World_Agriculture. pdf.
  6. Bollerslev, T., Hodrick, R.J., 1999, Financial Market Efficiency Tests:in: Handbook of Applied Economics, vol. 1, Macroeconomics, Blackwell Publishers, Oxford.
  7. Buguk, C., Brorsen, B.W., 2003, Testing Weak-form Market Efficiency: Evidence from the Istanbul Stock Exchange, International Review of Financial Analysis, 12: 579-590.
  8. Cajueiro, D.O., Tabak, B.M., 2004, The Hurst Exponent over Time: Testing the Assertion that Emerging Markets Are Becoming More Efficient, Physica A: Statistical Mechanics and its Applications, 336(3): 521-537.
  9. Cooper, J.C.B., 1982, World Stock Markets: Some Random Walk Tests, Applied Economics, 14(5): 515-531.
  10. Dickey, D.A., Fuller, W.A., 1981, Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49(4): 1057-1072.
  11. Dupernex, S., 2007, Why Might Share Prices Follow a Random Walk?, Student Economic Review, 21.
  12. Fama, E.F., 1965, Random Walks in Stock Market Prices, Financial Analysts Journal, 21(5): 55-59.
  13. Fama, E.F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, 25(2): 383-417.
  14. Geary, R.C., 1935, The Ratio of the Mean Deviation to the Standard Deviation as a Test of Normality, Biometrika, 27(3/4): 310.
  15. Godfrey, M.D., Granger, C.W.J., Morgenstern, O., 1964, The Random Walk Hypothesis of Stock Market Behaviour, Kyklos, 17(1): 1-30.
  16. Hallam, D., 2011, International Investment in Developing Country Agriculture - Issues and Challenges, Food Security, 3(1): 91-98, Doi:10.1007/s12571-010-0104-1.
  17. Hameed, A., Ashraf, H., 2006, Stock Market Volatility and Weak-form Efficiency: Evidence from an Emerging Market, The Pakistan Development Review, 45(4): 1029-1040.
  18. Hoque, H., Kim, J.H., Pyun, C.S., 2007, A Comparison of Variance Tests of Random Walk: A Case of Asian Stock Markets, International Review of Economics and Finance, 16: 488-502.
  19. Jafari, M.K.A., 2013, The Random Walk Behaviour and Weak-form Efficiency of the Istanbul Stock Market 1997-2011: Empirical Evidence, International Journal of Management, 30(3): 169.
  20. Jayakumar, G.S., Thomas. B.J., Ali, S.D., 2012, Weak form Efficiency: Indian Stock Sarket, SCMS Journal of Indian Management, 9(4): 80.
  21. Kim, J.H., Shamsuddin, A., 2008, Are Asian Stock Markets Efficient? Evidence from New Multiple Variance Ratio Tests, Journal of Empirical Finance, 15: 518-532.
  22. Kothari, S.P., 2001, Capital Markets Research in Accounting, Journal of Accounting and Economics, 31: 105-231.
  23. Kushwah, S.V., Negi, P., Sharma, A., 2013, The Random Character of Stock Market Prices: A Study of Indian Stock Market Exchange, Integral Review - A Journal of Management, 6(1): 24-33.
  24. Lapérouse, P., Kiernan, W.J., 2013, Global Agriculture as an Emerging Asset Class (HighQuest Partners), Global Business Magazine (gbm), http://www.gbmonline.net/ web-articles.cfm?theCID=DEC91E68-F46B-05DD-B398A96CA547660B.
  25. Lee, J., Lee, C., Lee, C., 2010, Stock Prices and the Efficient Market Hypothesis: Evidence from a Panel Stationary Test with Structural Breaks, Japan & the World Economy, 22(1): 49-58.
  26. Lim, K., 2007, Ranking Market Efficiency for Stock Markets: A Nonlinear Perspective, Physica A: Statistical Mechanics and its Applications, 376: 445-454, Doi:10.1016/j. physa.2006.10.013.
  27. Lo, A.W., MacKinley, A.C., 1999, A Non-Random Walk Down Wall Street, Princeton University Press, Princeton.
  28. Magnusson, M., Wydick, B., 2002, How Efficient are Africa's Emerging Stock Markets?, The Journal of Development Studies, 38, 4: 141-156.
  29. Mobarek, A., Fiorante, A., 2014, The Prospect of BRIC Countries: Testing Weak-form Market Efficiency, Research in International Business and Finance, 30: 217-232.
  30. Mobarek, A., Keasey, K., 2000, Weak form Market Efficiency of an Emerging Market: Evidence from Dhaka Stock Market of Bangladesh, Conference of the European Network of Bangladesh Studies, Oslo, Norway.
  31. MSCI Inc., 2008, MSCI Agriculture & Food Chain Indexes Methodology, http://www. msci.com/resources/products/indexes/thematic_and_strategy/agriculture/MSCI_ Agriculture_Index_Methodology_Jul08.pdf.
  32. Otilia, S., 2011, Testing the Weak-Form Informational Efficiency of United Kingdom and United States, Journal of Economics, 2: 116-119.
  33. Rehman, S. Qamar, M.R, 2014, Testing Weak form Efficiency of Capital Markets: A Case of Pakistan, International Journal of Research Studies in Management, 3(1): 65-73.
  34. Risso, W., 2009, The Informational Efficiency: The Emerging Markets versus the Developed Markets, Applied Economics Letters, 16(5): 485-487.
  35. Shawn, K.J., Chadha, P., Lau, J., Nishad, P., 2012, Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-form Efficiency, Journal of Money, Investment and Banking, 25, pp.181-193, 2012, http://ssrn.com/abstract=2142484.
  36. Shleifer, A., 2000, Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press, Oxford.
  37. Vulic, T.B., 2009, Testing the Efficient Market Hypothesis and Its Critics - Application on the Montenegrin Stock Exchange, http://www.eefs.eu/conf/athens/papers/550.pdf.
  38. Wen, X., Li, K., Liang, L., 2010, A Weak-Form Efficiency Testing of China's Stock Markets, Third International Joint Conference on Computational Science and Optimization: 514-517.
  39. World Bank, October 19, 2007, World Development Report 2008 Agriculture for development, The World Bank, Washington, D.C., http://siteresources.worldbank. org/INTWDRS/Resources/477365-1327599046334/8394679-1327606607122/ WDR_00_book.pdf.
Cited by
Show
ISSN
2392-1641
Language
eng
URI / DOI
http://dx.doi.org/10.18559/ebr.2016.2.1
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu