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C/F/1088. Dissertation. Testing Weak Form of Efficient Market Hypothesis: Case Study of Hong Kong Stock Exchange

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20050
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DATE:
2011
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209.99 GBP

The dissertation looks at the weak form of the efficient market hypothesis (EMH) in the context of Honk Kong Stock Exchange outlining the feature of the weak form of EMH and describing the background of Hong Kong Stock Exchange (HKEX). The review of literature touches on the theory of EMH including its strong, semi-strong and weak forms, random walk hypothesis (RWH), criticism of EMH and RWH, applicability of EMH to the conditions of the global financial crisis, EMH empirical testing, etc. The methodology of the research includes the methods of descriptive statistics, Box-Pierce test, Runs test and Jarque-Bera test applied to the analysis of 20 randomly selected stocks and shares traded on HKEX to identify the presence of unit root, autocorrelation, serial correlation, etc. Conclusions are made about statistical significance of the randomness of stock price changes and the acceptance of the applicability of the efficient market hypothesis to Hong Kong Stock Exchange.

 

KEYWORDS: Dissertation, Efficient Market Hypothesis, EMH, Hong Kong Stock Exchange, HKEX, random walk, share prices, financial crisis,

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