Open AccessWeak Form of Efficiency Hypotheses: Empirical Modeling With Box –Pierce, ADF and ARCH Tests
Author(s) -
Theiri Saliha,
Abdessatar Ati
Publication year - 2020
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v11n5p137
Subject(s) - arch , heteroscedasticity , econometrics , unit root , sample (material) , efficient market hypothesis , market efficiency , stock (firearms) , economics , stock market , statistics , financial economics , mathematics , engineering , structural engineering , geography , context (archaeology) , archaeology , chromatography , mechanical engineering , chemistry
The aim of this paper is to analyze the information efficiency after period of revolution. In particularly, it is a question of testing the weak form of efficiency on the Tunisian stock market. Based in many studies in literature of efficiency in developed countries, the select sample is compound of 52 companies over the period 2014-2018. By applying the different test of Unit Root (ADF), Box –Pierce and ARCH for detect the presence or not of Conditional heteroskedasticity. These tests show that the efficiency hypothesis in its weak form is not verified for majority of companies making up our sample, but it is only confirmed in 10 companies.