Econometric Analysis Of Weak Form Of Market Efficiency
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Econometric Analysis Of Weak Form Of Market Efficiency
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Author : Uttam B Sapate
language : en
Publisher: Educreation Publishing
Release Date :
Econometric Analysis Of Weak Form Of Market Efficiency written by Uttam B Sapate and has been published by Educreation Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with Education categories.
Econometric Analysis of Weak Form of Market Efficiency This book "Econometric Analysis of Weak Form of Market Efficiency" is an outcome of doctoral research work carried out on a large amount of stock market data using MATLAB software. It is a unique study wherein a battery of econometric tests has been applied to test the Indian stock market's weak form efficiency. This book consists of 6 chapters describing the concepts of market efficiency, econometric analysis and outcomes of the study. Each chapter deals with complex mathematical terminology in lucid and simple language for better understanding. This books aims at providing advance knowledge to the researches for application of econometric techniques to ascertain market efficiency. However, at the same time it is useful as a practical guide to the graduate / post graduate students of management, economics, and securities markets and engineering for carrying out desk research using MATLAB handling large amount of secondary data. The research outcomes are expected to be guiding force to investors, academicians, researchers in many ways wherein this work can further be extended.
Efficient Market Hypothesis
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Author : Mario Chinas
language : en
Publisher: Library of Cyprus
Release Date : 2019-02-23
Efficient Market Hypothesis written by Mario Chinas and has been published by Library of Cyprus this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-23 with categories.
This is the Black & White version of the book, available at a discount, which does not include the research data and analysis tables. There is also a Full Colour version that includes all the research data and analysis tables. What is a Stock Market? How do stock markets operate? Who invests in a stock market and when is it an appropriate tool for investment? Why do we care if a stock market is efficient or not? Where can we find evidence of market efficiency? With what tools can we test market efficiency?These are some of the questions that this book approaches. The Efficient Market Hypothesis (EMH) is a theory in financial economics, developed by Eugene Fama, which states that asset prices fully reflect all available information. Thus, it is implied that stocks always trade at their fair value, making it impossible for investors to "beat the market" via technical or fundamental analysis, since market prices should only react to new information.There are three variants of the EMH: "weak," "semi-strong," and "strong" form. The weak form of the EMH claims that prices already reflect all past publicly available market information. The semi-strong form claims that prices reflect all publicly available information, thus price changes occur to reflect new publicly available information. The strong form adds to this that prices instantly reflect even hidden private "insider" information.Testing the EMH is no easy task: Quantifying the availability of information and its effect on prices and market efficiency is challenging, making research on the subject difficult, time consuming and open to criticism. However, anecdotal evidence suggests that markets at best reach semi-strong form efficiency, with weak form efficiency being the norm. However, even this is challenged by the critics of EMH, via concepts such as Behavioural Finance.This book aims to familiarise the reader with the concept of EMH, covering the fundamentals and relevant literature. We then discuss market efficiency tests for Weak Form Market Efficiency, examining in more detail the day-of-the-week effect and its significance on stock market efficiency. The day-of-the-week effect is defined as a pattern where a certain day of the week has abnormal returns continuously. It is an anomaly that violates the random walk hypothesis, and thus implies that a market is not Weak Form efficient.We put theory into practice through the Empirical Research section which is divided into two parts, looking at two different approaches to researching the day-of-the-week effect, via the examination of actual research examples on a small European stock exchange. Both of these Thesis tested the hypothesis of random walk to determine the authenticity of weak form market efficiency for a small emerging stock market within the EU (the Cyprus Stock Exchange).
An Empirical Analysis Of The Weak Form Efficiency Of Stock Markets
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Author :
language : en
Publisher:
Release Date : 2009
An Empirical Analysis Of The Weak Form Efficiency Of Stock Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
Efficient Market Hypothesis In Africa S Sub Saharan Stock Markets
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Author : Sebastian Groh
language : en
Publisher: GRIN Verlag
Release Date : 2009-10-03
Efficient Market Hypothesis In Africa S Sub Saharan Stock Markets written by Sebastian Groh and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-03 with Business & Economics categories.
Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa's sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.
Investing In A Market Where People Believe In Efficiency Is Like Playing Bridge With Someone Who Has Been Told It Doesn T Do Any Good To Look At The Cards
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Author : Charles Ekweruo
language : en
Publisher: GRIN Verlag
Release Date : 2011-12-08
Investing In A Market Where People Believe In Efficiency Is Like Playing Bridge With Someone Who Has Been Told It Doesn T Do Any Good To Look At The Cards written by Charles Ekweruo and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-08 with Business & Economics categories.
Essay from the year 2011 in the subject Business economics - Investment and Finance, grade: 1, University of Bradford (School of Management-Business School), course: Capital Market Investment And Finance, language: English, abstract: “In an efficient market, security (example shares) prices rationally reflect available information” (Arnold 2005, p.684). The efficient market hypothesis (EMH) refers to share price movement with respect to available information and thus no trader will be presented with an opportunity of making supernormal profits (except by chance), therefore their profits on a share will reflect the riskiness associated with that shares (Pike and Neal 2009). However, “detailed investigations using advanced econometric techniques, larger data sets, increasingly powerful computing ability, and alternative theoretical models have in the last few years revealed a range of anomalies when the unpredictability-of -returns hypothesis is tested. Financial markets are often predictable to some extent, but the crucial question is whether this predictability can be exploited to make excess profits from trading in the markets‖ (Mills 1992, as cited by Coutts, 2000, p.579). Warren Buffet, known as one of the most successful investors in history, is convinced that stock markets are inefficient. ''I think it's fascinating how the ruling orthodoxy can cause a lot of people to think the earth is flat. Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn't do any good to look at the cards'' (Buffet, 1984, as cited by Davis, 1990, p.4). Buffet is referring to the fact that market price movements are often caused by emotional purchases and sales of stocks, resulting to an inefficient market, in other words, irrational market prices (Buffet, 1984). However, there are financial economists who see it the other way round. They agree with the “Efficient Market Hypothesis” which states that security prices rationally reflect only available information (Arnold, 2005, p. 684) (see fig 1) therefore inhibiting the possibility of beating the market. According to this theory, there does not exist under- or overvalued shares, only true and fair values. It is difficult to say which side is right and which side is wrong, as both are based on logical reasoning and transparent facts. This paper will therefore, evaluate both concepts using different theories and ideas from those for and those against the EMH in order to find a conclusion which is reasonable and flexible enough to support a constructive point of view (based on pragmatism) and to better understand if Buffet‟s statement is true or false or maybe both.
Efficient Market Hypothesis In Africa S Sub Saharan Stock Markets
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Author : Sebastian Groh
language : en
Publisher: GRIN Verlag
Release Date : 2009-10-02
Efficient Market Hypothesis In Africa S Sub Saharan Stock Markets written by Sebastian Groh and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-02 with Business & Economics categories.
Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa’s sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.
The Efficient Market Hypothesis And Its Application To Stock Markets
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Author : Sebastian Harder
language : en
Publisher: GRIN Verlag
Release Date : 2010-11
The Efficient Market Hypothesis And Its Application To Stock Markets written by Sebastian Harder and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11 with Business & Economics categories.
Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.
Information Efficiency And Anomalies In Asian Equity Markets
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Author : Qaiser Munir
language : en
Publisher: Taylor & Francis
Release Date : 2016-10-04
Information Efficiency And Anomalies In Asian Equity Markets written by Qaiser Munir and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-04 with Business & Economics categories.
The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Stock Market Efficiency And Price Behaviour
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Author : O. P. Gupta
language : en
Publisher:
Release Date : 1989
Stock Market Efficiency And Price Behaviour written by O. P. Gupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Efficient market theory categories.
The Chinese Stock Market
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Author : Nicolaas Groenewold
language : en
Publisher: Edward Elgar Publishing
Release Date : 2004-01-01
The Chinese Stock Market written by Nicolaas Groenewold and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-01 with Business & Economics categories.
'. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.