Testing Weak-form efficiency of Exchange Traded Funds Market
In this paper we assess the weak-form efficiency of Exchange Traded Funds market applying various parametric and non-parametric tests. The parametric tests performed concern serial correlation tests and Augmented Dickey-Fuller (ADF) unit root test while the nonparametric tests used is the Phillips-P...
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| description | In this paper we assess the weak-form efficiency of Exchange Traded Funds market applying
various parametric and non-parametric tests. The parametric tests performed concern
serial correlation tests and Augmented Dickey-Fuller (ADF) unit root test while the nonparametric
tests used is the Phillips-Peron (PP) unit root test. To assess ETF market efficiency,
we employ full daily return historical data of a sample of 66 equity-linked ETFs
traded in the U.S. stock over the period 2001-2010. The performed tests provide evidence
on the fact that the efficient market hypothesis holds in the ETF market. In particular, the
majority of serial correlation tests show the lack of such an issue in the time series of ETF
returns, which is a prerequisite in order for the efficient market hypothesis to be verified.
Moreover, both the parametric and non-parametric unit root tests adopted reveal the
non-existence of such an issue with respect to the pricing of ETFs and, therefore, the weakform
of the efficient market hypothesis seems not to be infringed in the U.S. ETF market |
| format | Article |
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various parametric and non-parametric tests. The parametric tests performed concern
serial correlation tests and Augmented Dickey-Fuller (ADF) unit root test while the nonparametric
tests used is the Phillips-Peron (PP) unit root test. To assess ETF market efficiency,
we employ full daily return historical data of a sample of 66 equity-linked ETFs
traded in the U.S. stock over the period 2001-2010. The performed tests provide evidence
on the fact that the efficient market hypothesis holds in the ETF market. In particular, the
majority of serial correlation tests show the lack of such an issue in the time series of ETF
returns, which is a prerequisite in order for the efficient market hypothesis to be verified.
Moreover, both the parametric and non-parametric unit root tests adopted reveal the
non-existence of such an issue with respect to the pricing of ETFs and, therefore, the weakform
of the efficient market hypothesis seems not to be infringed in the U.S. ETF market</description><identifier>ISSN: 2173-0164</identifier><language>spa</language><publisher>Universidad Complutense: Instituto de Estudios Bursátiles</publisher><subject>ETFs ; forms ; Market efficiency ; Weak</subject><ispartof>Aestimatio: The IEB International Journal of Finance, 2011 (2), p.5-5</ispartof><rights>LICENCIA DE USO: Los documentos a texto completo incluidos en Dialnet son de acceso libre y propiedad de sus autores y/o editores. Por tanto, cualquier acto de reproducción, distribución, comunicación pública y/o transformación total o parcial requiere el consentimiento expreso y escrito de aquéllos. Cualquier enlace al texto completo de estos documentos deberá hacerse a través de la URL oficial de éstos en Dialnet. Más información: http://dialnet.unirioja.es/info/derechosOAI | INTELLECTUAL PROPERTY RIGHTS STATEMENT: Full text documents hosted by Dialnet are protected by copyright and/or related rights. This digital object is accessible without charge, but its use is subject to the licensing conditions set by its authors or editors. Unless expressly stated otherwise in the licensing conditions, you are free to linking, browsing, printing and making a copy for your own personal purposes. All other acts of reproduction and communication to the public are subject to the licensing conditions expressed by editors and authors and require consent from them. Any link to this document should be made using its official URL in Dialnet. More info: http://dialnet.unirioja.es/info/derechosOAI</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>315,781,785,875,4025</link.rule.ids><linktorsrc>$$Uhttp://dialnet.unirioja.es/servlet/oaiart?codigo=3811316$$EView_record_in_Universidad_de_la_Rioja$$FView_record_in_$$GUniversidad_de_la_Rioja$$Hfree_for_read</linktorsrc></links><search><creatorcontrib>Rompotis, Gerasimos G</creatorcontrib><title>Testing Weak-form efficiency of Exchange Traded Funds Market</title><title>Aestimatio: The IEB International Journal of Finance</title><description>In this paper we assess the weak-form efficiency of Exchange Traded Funds market applying
various parametric and non-parametric tests. The parametric tests performed concern
serial correlation tests and Augmented Dickey-Fuller (ADF) unit root test while the nonparametric
tests used is the Phillips-Peron (PP) unit root test. To assess ETF market efficiency,
we employ full daily return historical data of a sample of 66 equity-linked ETFs
traded in the U.S. stock over the period 2001-2010. The performed tests provide evidence
on the fact that the efficient market hypothesis holds in the ETF market. In particular, the
majority of serial correlation tests show the lack of such an issue in the time series of ETF
returns, which is a prerequisite in order for the efficient market hypothesis to be verified.
Moreover, both the parametric and non-parametric unit root tests adopted reveal the
non-existence of such an issue with respect to the pricing of ETFs and, therefore, the weakform
of the efficient market hypothesis seems not to be infringed in the U.S. ETF market</description><subject>ETFs</subject><subject>forms</subject><subject>Market efficiency</subject><subject>Weak</subject><issn>2173-0164</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><sourceid>FKZ</sourceid><recordid>eNqli0EKgkAUQGdRkJR3mAsIjjpW4CZCadMmhJbDT__YTx1jRiFvX4s6QW_z4MFbMC8S2zgIRZqsmO8c3cIolXsZ7qTHshLdSKbhV4Q20IPtOWpNFaGpZj5onr-qO5gGeWmhxpoXk6kdP4NtcdywpYbOof_1mmVFXh5PQU3QGRzV01IPdlYDkPq1yZCl4QEKnTpcyvBDImMhZPzn_gaO_0qV</recordid><startdate>2011</startdate><enddate>2011</enddate><creator>Rompotis, Gerasimos G</creator><general>Universidad Complutense: Instituto de Estudios Bursátiles</general><scope>AGMXS</scope><scope>FKZ</scope></search><sort><creationdate>2011</creationdate><title>Testing Weak-form efficiency of Exchange Traded Funds Market</title><author>Rompotis, Gerasimos G</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-dialnet_primary_oai_dialnet_unirioja_es_ART00004531153</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>spa</language><creationdate>2011</creationdate><topic>ETFs</topic><topic>forms</topic><topic>Market efficiency</topic><topic>Weak</topic><toplevel>online_resources</toplevel><creatorcontrib>Rompotis, Gerasimos G</creatorcontrib><collection>Dialnet (Open Access Full Text)</collection><collection>Dialnet</collection><jtitle>Aestimatio: The IEB International Journal of Finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Rompotis, Gerasimos G</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Testing Weak-form efficiency of Exchange Traded Funds Market</atitle><jtitle>Aestimatio: The IEB International Journal of Finance</jtitle><date>2011</date><risdate>2011</risdate><issue>2</issue><spage>5</spage><epage>5</epage><pages>5-5</pages><issn>2173-0164</issn><abstract>In this paper we assess the weak-form efficiency of Exchange Traded Funds market applying
various parametric and non-parametric tests. The parametric tests performed concern
serial correlation tests and Augmented Dickey-Fuller (ADF) unit root test while the nonparametric
tests used is the Phillips-Peron (PP) unit root test. To assess ETF market efficiency,
we employ full daily return historical data of a sample of 66 equity-linked ETFs
traded in the U.S. stock over the period 2001-2010. The performed tests provide evidence
on the fact that the efficient market hypothesis holds in the ETF market. In particular, the
majority of serial correlation tests show the lack of such an issue in the time series of ETF
returns, which is a prerequisite in order for the efficient market hypothesis to be verified.
Moreover, both the parametric and non-parametric unit root tests adopted reveal the
non-existence of such an issue with respect to the pricing of ETFs and, therefore, the weakform
of the efficient market hypothesis seems not to be infringed in the U.S. ETF market</abstract><pub>Universidad Complutense: Instituto de Estudios Bursátiles</pub><oa>free_for_read</oa></addata></record> |
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| title | Testing Weak-form efficiency of Exchange Traded Funds Market |
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