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Takeshi Inoue and Shigeyuki Hamori
''An empirical analysis on the efficiency of the microfinance investment market''
( 2011, Vol. 31 No.3 )
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.
Keywords: efficient market hypothesis, microfinance investment, variance ratio test
JEL: O1 - Economic Development: General
F4 - Macroeconomic Aspects of International Trade and Finance: General
Manuscript Received : Jul 25 2011 Manuscript Accepted : Sep 26 2011

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