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The weak form market efficiency investigation of American, European and Asian stock markets



Author(s)

Nuray Ergül

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DOI:10.17265/1537-1506/2010.10.001

Department of Accounting and Finance, Marmara University, Beyazit Campus, Istanbul 34130, Turkey

This paper investigates the empirical validity of the Weak Form Efficient Market Hypothesis for American, European and Asian stock markets. Random Walk Hypothesis is used to prove weak form efficiency in American, European and Asian stock indices. ADF and PP Unit Root Tests have been used to test unit root in time series of daily data of American, European and Asian stock indices. Results show that sample of stock markets are weak-form efficient in terms of the Random Walk Hypothesis.

weak form efficiency; Random Walk Hypothesis; unit root tests