Title Page
Abstract
Contents
Chapter 1. Introduction 8
1.1. Mongolian Economy 9
1.2. Mongolian Stock Exchange 12
1.3. Purpose of the Study 16
Chapter 2. Literature Survey 18
2.1. Random Walk and Efficient Market Hypothesis 18
2.2. Formulation of the Concept 21
Chapter 3. Research Methodology 24
3.1. Variables 25
3.2. Kolmogorov-Smirnov Goodness of Fit Test 27
3.3. Testing for the presence of Autocorrelation 27
3.4. Wald-Wolfowitz Runs test 29
3.5. Variance Ratio Test 31
Chapter 4. Data and Descriptive Statistics 34
4.1. Descriptive Statistics and Test of Normality 36
4.2. Market Conditions during the Sample Period 40
Chapter 5. Empirical Results 45
5.1. Autocorrelation test 45
5.2. Wald-Wolfowitz's Runs test 50
5.3. Variance Ratio test 54
Chapter 6. Summary and Conclusion 57
References 60
Table 1-1. (Basic Figures of Stock Market in Mongolia) 15
Table 4-1. (Sample Stocks and Number of Transaction days) 35
Table 4-2. (Dividends Distributed by Companies during the Sample Period) 36
Table 4-3. (Descriptive Statistics of the Market Index Mean Return) 37
Table 4-4. (Descriptive Statistics: Weekly Returns of Individual Companies) 39
Table 5-1. Results of Autocorrelation (Log of the Weekly Market Index Return) 46
Table 5-2-1. Results of Autocorrelation (Log of the Weekly Stock Return) 48
Table 5-2-2. Results of Auto-Correlation (Log of the Weekly Stock Return) 49
Table 5-3. (Market index return series: Runs Above and Below the Mean Test) 51
Table 5-4. (Market index return series: Runs Above and Below the Median Test) 51
Table 5-5. (Sample stock return series: Runs Above and Below the Mean Test) 53
Table 5-6. (Sample stock return series: Runs Above and Below the Median Test) 53
Table 5-7. (Market Index Results for a One-Week Base Observation) 55
Figure 1-1. (MSE Top 20 Index Pattern during Sample Period) 42