Cultural Factors and Market Efficiency Tests:Global Evidence
| Autor: | Ming-jin Liu, 劉明謹 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 Since Lo and MacKinlay (1988) used the variance ratio for testing the random walk hypothesis, there are more and more documents using this method to research the market efficiency. However, they just concentrated on each country, regional economics, or some financial product markets. Seldom did they research for the global market or take cultural factors into studies. Therefore, I use the MSCI index from 1985 to 2010 of 40 countries as a sample to explore whether the market efficiency is affected by cultural factors. Use weekly data to test short-term market efficiency and use monthly data to test long-term market efficiency, the result shows that short-term market is less efficient than long-term market. Then I want to explore whether language, religion, individualism index and countries’ stock market creation year can explain market efficiency. The result shows that the market efficiency would be affected by the religious belief, the Islam, the Protestant, the Individualism index and the year of the creation of the stock market of the country. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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