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Weak form market efficiency: a comparative study
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Thispaper is acomparative study analyzingthe efficiency of three different stock markets. Using data fromthe Casablanca Stock Exchange, Euronext Lisbon and the New York Stock Exchange, I look at the predictability of asset prices from 2002 to 2018. In the case of Morocco, I adapt the methodology to account for the institutional features of an emerging market by correcting daily returns for thin-trading and including a non-linearity term. The results show that all three markets are characterized by inefficient pricing during the whole period. I also divide the sample period into three sub-periods to track potential improvement in informational efficiency as a result of structural and institutional reforms of stock markets.
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Emerging market Inefficiency Infrequent trading Non-linearity