Vol: 5, Issue: 2 2015

Page: 50-63

A Test on Stock Market Efficiency in Major Countries After Financial Crisis of 2007-08

V. Rajasekhar Ryaly, Dr. G.V. Subba Raju

Received Date: 2015-03-27

Accepted Date: 2015-04-04

Published Date: 2015-05-11

Capital markets are often so sensitive to the economic issues. The performance of the stock markets largely depends on the performance of the economy. Dynamics in the economy plays a significant role to decide the market movements. The present paper is examining the efficiency of the major stock markets in the world after the financial crisis in America which erode entire world during 2007-2008. During the subprime crisis all major stock markets were deteriorated drastically. From the early sessions of the 2009 they started to recover slowly. Daily closing values of 16 major stock indices were considered for the period from 1/01/2009 to 05/31/2015 for the study of market efficiency. I considered this period was the recovery period from earlier big crunch of the economy. To test market efficiency of the indices, Random Walk Hypothesis models i.e. Runs Test, Autocorrelation test and unit root test were employed. Results obtained from the study provide the reasonable evidences to prove the weak-form of market efficiency in all selected major stock markets in the world.

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