Testing Weak Form Of Efficient Market Hypothesis
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Efficient Market Hypothesis
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Author : Mario Chinas
language : en
Publisher:
Release Date : 2018-12-12
Efficient Market Hypothesis written by Mario Chinas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-12 with categories.
This is the Full Colour version of the book including all the research data and analysis tables in the appendices. There is also a Black & White version, available at a discount, that does not include 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).
Testing Weak Form Of Efficient Market Hypothesis
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Author : Saqib Nisar
language : en
Publisher:
Release Date : 2017
Testing Weak Form Of Efficient Market Hypothesis written by Saqib Nisar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The efficient market hypothesis (EMH) suggests that stock prices fully reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This research has examined the weak form of efficient market hypothesis on the four major stock exchanges of South Asia that are Karachi stock exchange (KSE-100), Bombay stock exchange (BSE-SENSEX), Colombo stock exchange (CSE-MPI) and Dhaka stock exchange (DSE-GEN). Historical index values of KSE-100, BSE-SENSEX, CSE-MPI and DSE-GEN on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). We applied four different statistical tests including runs test, serial correlation (Durbin Watson test), unit root and variance ratio test. Findings suggest that none of the four major stock markets of south-Asia follows Random-walk and hence all these markets are not the weak form of efficient market.
Testing Weak Form Efficient Market Hypothesis
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Author : Saeed Hassama
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2015-06-08
Testing Weak Form Efficient Market Hypothesis written by Saeed Hassama and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-08 with categories.
Stock market efficiency is one of the important concept in capital markets to understand flow of working in capital markets. With the greater movement in investments across the international boarders owing to integration of economies of the world, knowledge about the efficiency of developing markets is also obtaining greater importance. This study tested the hypothesis of random walk to determine the authenticity of the weak form market efficiency for the emerging and the biggest stock market of Pakistan named "Karachi Stock Exchange."
Weak Form Efficiency Tests
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Author : Björn Schubert
language : en
Publisher: GRIN Verlag
Release Date : 2009-07-21
Weak Form Efficiency Tests written by Björn Schubert and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-07-21 with Business & Economics categories.
Seminar paper from the year 2009 in the subject Business economics - Investment and Finance, grade: 2,3, University of Edinburgh, language: English, abstract: While using standard tests of weak form market efficiency along with the more recent DELAY test, this report examines if the returns of six selected stocks and two decile indices follow a random walk which would evidence the non-predictability of future stock returns by historical prices which is a necessary condition for the weakest form of market efficiency. The evidence of four different measurement tests suggests that except of one stock all stocks and indices drift away from the weak form market efficiency hypothesis.
Testing The Weak Form Of Efficient Market Hypothesis
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Author : Kashif Hamid
language : en
Publisher:
Release Date : 2017
Testing The Weak Form Of Efficient Market Hypothesis written by Kashif Hamid and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This empirical study is conducted to test the weak-form market efficiency of the stock market returns of Pakistan, India, Sri Lanka, China, Korea, Hong Kong, Indonesia, Malaysia, Philippine, Singapore, Thailand, Taiwan, Japan and Australia. Monthly observations are taken for the period January 2004 to December 2009. Autocorrelation, Ljung-Box Q-statistic Test, Runs Test, Unit Root Test and the Variance Ratio are used to test the hypothesis that the stock market follows a random walk. Monthly returns are not normally distributed, because they are negatively skewed and leptokurtic. In aggregate we concluded that the monthly prices do not follows random walks in all the countries of the Asian-Pacific region. The investors can take the stream of benefits through arbitrage process from profitable opportunities across these markets.
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.
Cycles
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Author : Joseph P. Slysh
language : en
Publisher:
Release Date : 1979
Cycles written by Joseph P. Slysh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Stock price forecasting categories.
The Efficient Market Hypothesis On Trial
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Author : Karen M. Hackett
language : en
Publisher:
Release Date : 2006
The Efficient Market Hypothesis On Trial written by Karen M. Hackett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Stock exchanges categories.
Testing The Empirics Of Weak Form Of Efficient Market Hypothesis
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Author : Nidhi Malhotra
language : en
Publisher:
Release Date : 2015
Testing The Empirics Of Weak Form Of Efficient Market Hypothesis written by Nidhi Malhotra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The present study examines the weak form of market efficiency of 10 selected stock exchanges in Asia-Pacific markets for daily, weekly and monthly returns from 1997 to 2012. The descriptive statistics results indicate that all the three return series (daily, weekly and monthly) are not normally distributed and are characterized as leptokurtic and skewed. The results of run test and autocorrelation indicate that the Asian markets are weak form efficient when tested on monthly returns but fail to exhibit characteristics of random walk in daily and weekly returns. The results of unit root conclude that data becomes stationary at order I(1) and the results of the more stringent variance ratio reject the existence of weak form of inefficiency in the selected stock indices. The results have important implications for investors who can exploit market inefficiency and earn abnormal profits while holding a well diversified portfolio in these emerging markets.
The Efficient Market Hypothesis
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Author : Noraini Mohd Ariffin
language : en
Publisher:
Release Date : 1995
The Efficient Market Hypothesis written by Noraini Mohd Ariffin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Efficient market theory categories.