Stock Price Behaviour in Emerging Markets: Tests for Weak-Form Efficiency on the Jamaica Stock Exchange

Abstract

This paper conducts a number of statistical tests to investigate the weak form efficiency of the Jamaica Stock Exchange (JSE). In contrast to previous studies on the efficiency of the JSE, the paper analyzes the efficiency of all listed stocks, as opposed to the market index. The paper is also the first to explore seasonal patterns on the JSE. An analysis of daily returns on all stocks listed on the JSE over the period January 2, 1992 to December 31, 2001 rejects the hypothesis of randomness in the rates of return series for the majority of stocks listed ...