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Please use this identifier to cite or link to this item: http://hdl.handle.net/2344/934

タイトル: An empirical analysis on the efficiency of the microfinance investment market
著者: Inoue, Takeshi
Hamori, Shigeyuki
井上, 武
羽森, 茂之
キーワード: Efficient market hypothesis
Microfinance investment
Variance ratio test
Microfinance
Issue Date: Dec-2010
出版者: Institute of Developing Economies, JETRO
引用: IDE Discussion Paper. No. 271. 2010.12
抄録: This paper empirically analyzes the market efficiency of microfinance investment funds. For the empirical analysis, we use an index of the microfinance investment funds and apply two kinds of variance ratio tests to examine whether or not this index follows a random walk. We use the entire sample period from December 2003 to June 2010 as well as two sub-samples which divide the entire period before and after January 2007. The empirical evidence demonstrates that the index does not follow a random walk, suggesting that the market of the microfinance investment funds is not efficient. This result is not affected by changes in either empirical techniques or sample periods.
URI: http://hdl.handle.net/2344/934
Appears in Collections:04.IDE Discussion Paper
01.経済、産業(Economy and Industry)/特定地域なし(Non Region-specific Studies)

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