Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members
Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members

Summary/Abstract: This paper analyzes stock markets of G-20 members in terms of comparing return predictability, in other words, weak-form market efficiency using stock indexes weekly data of the G-20 members between 07.06.2009 and 09.02.2020. As a result of the wild bootstrap automatic variance ratio test analysis developed by Kim (2009), it is found that the stock markets of Brazil, South Africa, and Germany were weak-form efficient in the date range within the scope of the study, so the returns are unpredictable, while the weak-form efficiency (return predictability) of other markets are time-varying. In addition to Brazil, South Africa, and Germany, there is a very low chance to estimate returns with historical price movements or returns in Russia, France, Italy, United States, United Kingdom, and Canada stock markets. It is also found that the return predictability periods of Japan, Australia, China, Saudi Arabia, and especially Mexico’s stock markets are higher than other markets and the chance of success in estimating returns by using historical price information in these markets is quite high.

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