Abstract:

In advanced and developing economies, capital markets play a major role in turning savings into investments. Investors' high profit expectations in capital markets of developing economies have raised curiosity about how they can predict future prices. The aim of this study is to test the effectiveness of 20 stock exchanges in the G-20 countries in a weak form. In line with this objective, with the help of the racial walk model, the G20 countries’ daily index values for the period 01.01.2002-31.12.2018 were implemented variance analysis and unit root tests covering the ADF, PP and KPSS tests. According to the variance rate test, NASDAQ (US) and SESN (India) were not able to show racial walking at the level of 1%, TASI (Saudi Arabia) 5%, and SSEC (China) 10%, and were not effective in a weak form. Other stock exchanges in the work range were found active in a weak form. Also, according to the result of the unit root test conducted, 18's stock exchanges were active in weak form during the analysis period.

Abstract:

In developed and emerging economies, capital markets play a major role in tranforming savings into investment. The high profit expectation of the investors in the capital markets of the emerging economies increase the curiosity about predicting future prices. The aim of this study is to test weak-form efficiency of 20 stock markets in G-20 members countries. For this purpose, with the help of random walk model, daily index values of the stock markets of G-20 members countries for the period of 01.01.2001-12.31.2018 are applied by analysis of variance and unit root tests including ADF, PP and KPSS tests. As a result of study according to variance ratio test, it is concluded that NASDAQ (USA), SESN (India), TASI (Saudi Arabia) and SSEN (China) do not show a random walk and are not effective at the weak-form in the degrees of 1%, 5%, and 10%, respectively. Other stock markets in the study are found in weak-form efficient. In addition, according to the unit root test results, 18 stock markets are found in weak-form efficient during the analysis period.

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