Non-Linear Tests of Weakly Efficient Markets: Evidence from Portugal

Estudos de Economia, Vol. 9, No. 2, pp. 169-187, 1999

19 Pages Posted: 18 Apr 2005

See all articles by António Afonso

António Afonso

University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics); ISEG Lisbon School of Economics and Management,Universidade de Lisboa; REM - Research in Economics and Mathematics

João Teixeira

Winton Capital Management

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Abstract

This paper investigates the existence of non-linear dependence in Portuguese financial time series namely stock exchange indexes returns. Non-linear dependence may exist in a series even if we have already concluded for the lack of linear dependence. If present, non-linear dependence would contradict the random walk model and the financial markets weak form efficiency hypothesis. Using daily observations for the period 1990-1997 some so-called non-linearity tests are performed in order to decide whether we can accept the weak form efficiency hypothesis. The results seem to confirm the existence of exploitable excess profit opportunities in the Portuguese stock market.

Keywords: Market efficiency, non-linearity tests, stock market, Portugal

JEL Classification: C14, G14

Suggested Citation

Afonso, António and Perdigão Anjos Teixeira, João Cláudio, Non-Linear Tests of Weakly Efficient Markets: Evidence from Portugal. Estudos de Economia, Vol. 9, No. 2, pp. 169-187, 1999, Available at SSRN: https://ssrn.com/abstract=704902

António Afonso (Contact Author)

University of Lisbon - ISEG (School of Economics and Management) ( email )

R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal
+351 21 392 5985 (Phone)
+351 21 396 6407 (Fax)

HOME PAGE: http://www.iseg.ulisboa.pt/aquila/homepage/aafonso/research

UECE (Research Unit on Complexity and Economics) ( email )

Rua Miguel Lupi 20
Lisbon, 1249-078
Portugal
+351-213 925 912 (Phone)
+351-213 971 196 (Fax)

HOME PAGE: http://uece.rc.iseg.ulisboa.pt/

ISEG Lisbon School of Economics and Management,Universidade de Lisboa ( email )

Rua do Quelhas 6
LISBOA, 1200-781
Portugal

REM - Research in Economics and Mathematics ( email )

ISEG, Universidade de Lisboa
Rua Miguel Lupi, 20
Lisboa, 1249-078
Portugal

HOME PAGE: http://rem.rc.iseg.ulisboa.pt/

João Cláudio Perdigão Anjos Teixeira

Winton Capital Management ( email )

London
United Kingdom

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