Reports
Discussion Papers
No.271 An Empirical Analysis on the Efficiency of the Microfinance Investment Market
by INOUE Takeshi and HAMORI Shigeyuki
December 2010
ABSTRACT
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
classification:
G14,
G21
Please note that discussion papers are works in various stages of progress and most have not been edited and proofread and may contain errors of fact or judgment. Revised versions of these papers may subsequently appear in more formal publication series. The views expressed in this publication are those of the author(s). The IDE does not guarantee the accuracy of the data included and accepts no responsibility for any consequences arising from its use.