Title

Market development and market efficiency: evidence based on nonlinear panel unit root tests

Document Type

Article

Source of Publication

European Journal of Finance

Publication Date

7-24-2019

Abstract

© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. This study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.

ISSN

1351-847X

Publisher

Routledge

Volume

25

Issue

11

First Page

979

Last Page

993

Disciplines

Business

Keywords

European stock markets, market development, Market efficiency, nonlinear panel unit root tests

Scopus ID

85059058700

Indexed in Scopus

yes

Open Access

no

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