The Efficiency Tests of American Capital Markets

• Main Authors: Shu-Hua Kao, 高淑華
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/04166961519144141695

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === In this study, we apply both traditional variance ratio test proposed by Lo and MacKinlay（1988、1989）and nonparametric variance ratio test proposed by Wright（2000）, to investigate the efficiency of American stock, foreign exchange, oil, and gold markets. Reviews of the past papers show that the test results, due to the ignorance of the serial correlation and heteroscedasticity, are mostly inconsistence in testing market efficiency. We improve the results by using both variance ratio test proposed by Lo and MacKinlay（1988、1989）and non-parametric variance ratio test proposed by Wright（2000）, under the consideration of heteroscedasticity. Dividing the whole sample period into two subperiods according to important event, rule change and government regulation also vastly improve the test result. The test experiments in this paper show that both the exchange rate market for Pound to US Dollar and the gold market are efficient in the subperiods after rule change and after government regulation. However, both oil market and S&P500 stock market are inefficient under various observation durations (K) in the subperiods after rule change and after government regulation.