Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes
Table 1
Dataset summary.
Aggregate series
Markets
Indexes
Start date
Sample size
ARG
Argentina
MerVal Index
10/08/96
3673
AUS
Australia
All Ordinaries Index
08/03/84
6844
AUT
Austria
ATX Index
11/11/92
4645
BEL
Belgium
BEL-20 Index
02/11/05
1506
BRA
Brazil
Bovespa Index
04/27/93
4533
CAN
Canada
S&P TSX Composite Index
01/03/00
2932
CHE
Switzerland
Swiss Market Index
11/09/90
5240
CHL
Chile
IPSA Index
01/10/03
1984
CHN
China
Shanghai Composite Index
01/04/00
2979
DEU
Germany
DAX Index
11/26/90
5245
DNK
Denmark
OMX COPENHAGEN 20 Index
01/03/00
2961
ESP1
Spain
Madrid General Index
06/29/06
1311
ESP2
Spain
IBEX 35 Index
02/15/93
4625
FRA
France
CAC 40 Index
03/01/90
5433
GBR
UK
FTSE 100 Index
04/02/84
6919
GOL
—
World Gold Price Index
12/29/78
8510
HGK
Hong Kong
Hang Seng Index
12/31/86
6122
IDN
Indonesia
Jakarta Composite Index
07/01/97
3439
IND1
India
BSE 30 Index
07/01/97
3497
IND2
India
S&P CNX NIFTY Index
08/12/02
2262
ISR
Israel
TA-100 Index
07/01/97
2972
ITA
Italy
FTSE MIB Index
06/02/03
2115
JPN
Japan
Nikkei 225 Index
01/04/84
6795
KOR
Korea
Seoul Composite Index
07/01/97
3486
MEX
Mexico
IPC Index
11/08/91
4945
MYS
Malaysia
KLSE Composite Index
12/03/93
4376
NLD
The Netherlands
AEX General Index
10/12/92
4805
NOR
Norway
OSE All Share Index
02/07/01
2650
NZL
New Zealand
NZSE 50 Index
04/30/04
1819
OIL1
—
New York Crude Oil Price
10/01/28
6560
OIL2
—
North Sea Brent Crude Oil Price
01/28/30
6155
RUS
Russia
RTS Index
09/01/95
3983
SGP
Singapore
Straits Times Index
12/28/87
5919
SWE1
Sweden
Stockholm General Index
01/08/01
2731
SWE2
Sweden
OMXS 30 Index
07/06/04
1820
TUR
Turkey
ISE 100 Index
01/04/88
5887
TWN
Taiwan
Taiwan Weighted Index
07/02/97
3480
USA1
USA
Dow Jones Industrial Average Index
10/01/28
20817
USA2
USA
NASDAQ Composite Index
02/05/71
10229
USA3
USA
S&P 500 Index
01/03/50
15510
USA4
USA
13-WEEK TREASURY Bill
01/04/60
12901
USA5
USA
CBOE Interest Rate 10-year T-Note
01/02/62
12405
USA6
USA
Treasury Yield 30 Years
02/15/77
8633
USA7
USA
Treasury Yield 5 Years
01/02/62
12402
The aggregate series codes are used next to refer to the 37 individual major stock market indexes and seven other measures shown in the table. The sample includes occasional holidays and excludes all Saturdays and Sundays. The gold (GOL) series data is from The World Gold Council; the two crude oil prices (OIL1 and OIL2) are from the Federal Reserve Bank of St. Louis’ FRED Database. All other data are from the US and UK Yahoo! Finance websites.
