Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Table 3

Rankings of global financial market major indexes on average significant causality.

Rank	Index	PCAGM
1	OIL1	0.5239
2	OIL2	0.4690
3	MEX	0.4112
4	TUR	0.3949
5	AUS	0.3837
6	RUS	0.3798
7	DEU	0.3793
8	SWE1	0.3735
9	USA1	0.3733
10	HGK	0.3732
11	GOL	0.3709
12	AUT	0.3574
13	USA3	0.3412
14	USA4	0.3403
15	IND1	0.3231
16	SWE2	0.3060
17	IDN	0.3054
18	SGP	0.3051
19	GBR	0.3048
20	CHN	0.2933
21	CHE	0.2915
22	KOR	0.2879
23	CHL	0.2785
24	ARG	0.2706
25	USA2	0.2697
26	FRA	0.2600
27	USA7	0.2555
28	IND2	0.2546
29	BRA	0.2415
30	BEL	0.2362
31	USA5	0.2268
32	USA6	0.2210
33	ESP2	0.2197
34	ISR	0.2143
35	NLD	0.2132
36	MYS	0.2116
37	CAN	0.2060
38	NOR	0.2026
39	TWN	0.1873
40	NZL	0.1858
41	DNK	0.1812
42	ESP1	0.1759
43	ITA	0.1237
44	JPN	0.1107

The ranking is based on the average percentage of significant causality relations as a result of the Granger causality tests at 𝑃<0.05 level. For each of the indexes, we rank the average amount of significant causal relations. The arithmetic average is computed across different series of an index and all the outputs in the 30-day test window. PCAGM refers to the probability and capability of affecting global market of a certain financial index.