Efficiency of Stock Exchange Markets in G7 Countries： Bootstrap Causality Approach  

作　　者：Ekrem Erdem Recep Ulucak 

机构地区：[1]Erciyes University, Kayseri, Turkey

出　　处：《Economics World》2016年第1期17-24,共8页经济世界（英文版）

摘　　要：Market efficiency is based on efficient market hypothesis （EMH）. EMH claims that market totally contains the available information. In case of EMH, valid investors who take position will not gain abnormal profits. If the efficiency can not be established, that is, if markets are not efficient, investors will have the opportunity of abnormal profits. This paper investigates the causality relations to determine validity of EMH among G7 （Canada, France, Germany, Italy, Japan, United Kingdom, and United States） countries＇ stock exchange markets for the period from July 2003 to October 2014. To find out whether the variables cause each other or not provides knowledge about the market efficiency. The implication of this analysis is twofold. One implication is that if the markets are informationally efficient, the possibility of abnormal returns through arbitrage is ruled out and investors can reduce the risk of their investment for the same expected returns, if they establish portfolios that consist of both markets rather than consisting of only one market. Based on this, Hacker-Hatemi-J. bootstrap causality test that is newer and has many advantages contrary to other tests was used. Results showed that EMH is valid among each G7 countries＇ stock exchange markets. Also portfolio diversification benefits exist among these markets.

关 键 词：efficient market hypothesis （EMH） informational efficiency portfolio diversification financial econometrics bootstrap causality 

分 类 号：F11[经济管理—国际贸易]