Eduah Nancy, Debrah Godwin, Aidoo Emmanuel Kojo, Mettle Felix O
Department of Statistics and Actuarial Science, University of Ghana, Ghana.
Department of Computer Science and Information Systems, Ashesi University, Ghana.
Heliyon. 2024 Mar 24;10(7):e28301. doi: 10.1016/j.heliyon.2024.e28301. eCollection 2024 Apr 15.
This study investigates whether there are significant differences in investment returns between emerging markets and industrialized markets in terms of stochastic seasonality, January effect and market efficiency. Data on investments, and returns for nine emerging countries and eleven industrialized countries spanning January 1990 to December 2020, were obtained from the Organization for Economic Cooperation and Development (OECD). The spectral nonparametric test was used to determine the presence of stochastic seasonality for each market while the regression test was used to determine the presence of January effect. In the case of determining the efficiency status of the markets, the variance ratio test and the runs test were used. In cases where there appeared to be differences between the two types of market, Fisher's exact test was used to verify such differences. The results show no significant differences between the two types of markets in terms of seasonality, January effect and efficiency statuses. Apart from Brazil which recorded stochastic seasonality, all others are not stochastically seasonal. In the case of the January effect, it was a mixed bag; five emerging markets had January effect while two industrialized markets had January effect.
本研究调查了新兴市场和工业化市场在随机季节性、一月效应和市场效率方面的投资回报是否存在显著差异。1990年1月至2020年12月期间九个新兴国家和十一个工业化国家的投资及回报数据来自经济合作与发展组织（经合组织）。光谱非参数检验用于确定每个市场是否存在随机季节性，而回归检验用于确定一月效应是否存在。在确定市场的效率状况时，使用了方差比检验和游程检验。在两类市场之间似乎存在差异的情况下，使用费舍尔精确检验来验证这种差异。结果表明，两类市场在季节性、一月效应和效率状况方面没有显著差异。除了巴西存在随机季节性外，其他所有国家都不存在随机季节性。在一月效应方面，情况不一；五个新兴市场有一月效应，而两个工业化市场有一月效应。
