Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Download or read book The Efficiency of China s Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.

Download or read book Efficient Market Hypothesis written by Mario Chinas and published by Library of Cyprus. This book was released on 2019-02-23 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).

Download or read book STOCK MARKET BEHAVIOR AND INTEGRATION AMONG GLOBAL STOCK MARKETS AN EMPIRICAL INVESTIGATION written by Arul Sulochana Y and published by Faculty of Management Sciences. This book was released on 2022-07-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors and researchers have been paying more attention to the emerging stock markets performance. Analysing stock market behaviour and stock market efficiency is important for investors because it allows the investors to understand the stock market behaviour better and consequently make more sensible choices. The investors can make above average profits through investments in different markets by taking advantage of any abnormalities when they occur. In the context of globalization and increasing opportunities to the investors to invest abroad, it is essential for the international portfolio investors from India to understand the level of interdependence among the major stock markets in the world and its impact on the Indian stock market.Efficiency in the domestic stock market has important implications for issuers of equity and portfolio investors. Furthermore, an efficient stock market can attract foreign portfolio investment, support domestic savings and improve the mobility of capital and financial resources. Market efficiency has an important bearing on fund managers and investment bankers and more specifically the investors who are seeking to diversify their portfolio internationally. With increased movement of investment across international boundaries due to the integration of world economies, understanding of global stock market efficiency is also gaining greater becoming more important.It is difficult for the foreign institutional investors to identify profitable markets during negative global cues. Framing an investment policy is difficult by considering native market behaviour alone. Stock market operations are dynamic in nature. newline.

Download or read book A Preliminary Investigation of the Effect of Institutional Investors on the Stock Market written by Bert Brook and published by . This book was released on 1963 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Investigation of the Efficient Stock Market Hypothesis written by Jianing Fang and published by . This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Efficient Market Hypothesis written by and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Investigation of the Distribution of Stock market Prices and Weak form Efficiency of the Brussels Stock Exchange written by Baldomero V. Regidor and published by . This book was released on 1979 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book INVESTIGATING STOCK MARKET EFF written by Hua Zhang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Investigating Stock Market Efficiency in China" by Hua, Zhang, 張華, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled Investigating Stock Market Efficiency in China submitted by Zhang Hua for the degree of Doctor of Philosophy at the University of Hong Kong in August 2002 Though voluminous studies have been conducted on the stock market efficiency in the U.S. and other developed countries, in China, there lacks a through and systematic study in this respect. This research aims to fill up the lacuna by exploring the important issue of market efficiency in China, with particular emphasis on (1) the earning announcement effect, (2) the size effect, (3) the stock return seasonality, (4) the day-of-the-week effect, (5) mutual fund performance, and (6) the close-end fund puzzle. Our main findings indicate that the Chinese stock market is largely inefficient and it also exhibit some distinctive characteristics in comparison with those documented in previous studies on the U.S. stock markets. First, for the earning announcement effect, it is found that stock prices underreact to earning announcement and stocks with good earning growth in general outperform those with bad earning growth. However, stocks with extreme bad earning news have the best performance after the announcement. Second, study on the size effect shows that stocks of smaller capitalization have higher returns than those of larger capitalization and size has explanatory power on cross-sectional difference in stock returns. Third, regarding the possible seasonality, though average daily returns of every month differ greatly in each year, stock returns do not possess a consistent seasonal pattern across years. As a result, regression analysis rejects the existence of a strong calendar effect in China. Forth, in smaller scale, we find that the day-of-the-week effect exists in China. More specifically, Tuesday return is significantly the lowest and Friday return is significantly the highest; moreover, trading in terms of volume and turnover rate also exhibits some weekly pattern. Fifth, study on mutual fund performance shows that the Chinese mutual funds indeed possess inside information. Though Jensen measures show that mutual funds on average do not have abnormal returns, the result from a 2- factor model that takes the size effect into account suggests that mutual funds' performance is superior. Finally, we examine the close-end fund discount in China. As a counter-example to market efficiency, the close-end fund puzzle in China can not be accounted for by traditional explanatory variables such as liquidity, management fee, and fund performance. Instead, we find that it is closely associated with investor sentiment. DOI: 10.5353/th_b2994654 Subjects: Stocks - Prices - China Stock exchanges - China Efficient market theory

Download or read book An Empirical Investigation of the Efficient Market Hypothesis written by Christos Alexakis and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investigating Stock Market Efficiency in China written by Hua Zhang and published by . This book was released on 2003 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.

Download or read book Irrational Exuberance Reconsidered written by Mathias Külpmann and published by Springer Science & Business Media. This book was released on 2013-03-20 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathias Külpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.

Download or read book 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 published by GRIN Verlag. This book was released on 2011-12-08 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Empirical Investigation of Efficient Market Hypothesis in Vietnam Stock Market written by Xuan Vinh Vo and published by . This book was released on 2014 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research examines the efficiency of Vietnam stock market at weak form level by using daily and weekly observations of market index and eight selected stocks of real estate and seafood processing companies for the period from 2007 to 2010. Parametric and nonparametric tests including auto correlation test, run test, variance ratio test, regression test, ARCH, GARCH (1,1) have been employed in this study. The results from all tests fail to support the hypothesis of weak form efficiency with the daily data, even in case, returns are adjusted for thin trading. However, with weekly data, the results obtained from run test and autocorrelation test do not completely reject the hypothesis of weak form efficiency while the result given from variance ratio test fully provides the evidence against a random walk. Besides that, the findings of no clear calendar effect by examining the day of week effect also give the evidence that even if the anomalies existed in the sample period, the practitioners who implement strategies to take advantage of anomalous behavior can cause the anomalies to disappear.

Download or read book An Empirical Investigation of the Efficient Market Hypothesis the Case of the Athens Stock Exchange written by and published by . This book was released on 1992 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: