Testing the Weak Form of Efficient Market Hypothesis in Stock Markets

Abstract

This thesis is focused on testing the weak form efficiency in different stock markets using linear and nonlinear methods of testing. For the purpose of this thesis we utilized daily time series of Chinese, Japanese and British stock markets in the period from 2003 to 2015. Chinese stock market was approximated by Shanghai and Hong Kong stock markets. In this thesis, we evaluated the weak form of efficiency in three different sub periods including the period of the global financial crisis of 2007-2009 years.