|
|
|
|
|
Elmar Grater,Jean Struweg
AbstractThis paper furthers the work on efficiency of developing markets with specific focus on the JSE Limited. Empirical work on the efficiency of the JSE has been mixed; evidence both in favour of and against weak form efficiency is prominent. If mark...
ver más
|
|
|
|
|
|
|
|
|
|
|
Abhay Kumar,Rashmi Soni,Iqbal Thonse Hawaldar,Meghna Vyas,Vaibhav Yadav
Pág. 208 - 216
The purpose of this study is to test whether the Indian pharmaceutical companies support efficient market hypotheses (EMH) and examine the efficiency of the Indian stock market in three forms, i.e., the weak, the semi-strong, and the strong form of marke...
ver más
|
|
|
|
|
|
|
|
|
|
|
ANI STOITSOVA-STOYKOVA, Vladimir Tsenkov
Pág. 31 - 56
The study uses the GARCH models to estimate market efficiency of eleven stock markets from South East Europe (SEE) - Bulgaria, , Croatia, Greece, Serbia, Slovenia, Turkey, Romania, Montenegro, Macedonia, Banja Luka and Sarajevo (Bosnia and Herzegovina) o...
ver más
|
|
|
|
|
|
|
|
|
|
|
This paper examined the Efficient Market Hypothesis (EMH) for seven financial markets located in the Gulf Cooperative Council (GCC) countries; Bahrain Securities Market (BSE), Qatar?s Doha Financial Market (DFM), Kuwait Securities Market (KSE) , Oman?s M...
ver más
|
|
|
|
|
|
|
|
|
|
|
Rim Ammar Lamouchi
Pág. 29 - 34
This paper examines the market efficiency of Saudi Arabia stock exchange market namely Tadawul All Share Index, TASI, for the period from 1998 to 2020. To test the efficiency of stock market, we analyze the dependence structure of stock market index retu...
ver más
|
|
|
|
|
|
|
|
|
|
|
Masud Pervez,Md. Harun Ur Rashid,Md. Asad Iqbal Chowdhury,Mahbubur Rahaman
Pág. 88 - 95
This study aims to examine the weak form efficiency of Dhaka Stock Exchange (DSE) using random walk model of EMH based on daily return series. The study applies both non-parametric [Kolmogorov-Smirnov test with Lilliefors coefficient, run test] and param...
ver más
|
|
|
|
|
|
|
|
|
|
|
Shamsul Bahrain Mohamed-Arshad,Kamarun Nisham Taufil-Mohd,Nurwati Ashikkin Ahmad-Zaluki
Pág. 958 - 962
This paper examines the market reaction at the expiration of IPO lockup on share prices and trading volume. The sample consists of 292 IPOs listed on Bursa Malaysia between May 2003 and December 2012. IPO lockup in Malaysia is mandatory as opposed to vol...
ver más
|
|
|
|
|
|
|
|
|
|
|
Rodrigo Fernandes Malaquias,William Eid Junior
Pág. 119 - 142
According to the theory of the Efficiency Market Hypothesis (EMH), prices in the market should reflect all the information to the point where the costs of acting based on this information does not exceed its benefits (Jensen, 1978; Fama, 1991). In this c...
ver más
|
|
|
|
|
|
|
|
|
|
|
Sheereen Fauzel
Pág. 745 - 755
During the past decades, the efficient market hypothesis (EMH) has been at the heart of the debate in the financial literature. Ultimately, the consequence of the efficiency of a market is that prices always fully reflect all available information. The o...
ver más
|
|
|
|
|
|
|
|
|
|
|
Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
ver más
|
|
|
|
|
|
|
|
|
|
|
Faizul Mubarok,Mohammad Masykur Fadhli
Pág. in press
The presence of the stock market has helped to increase economic growth in a country. However, high levels of volatility plus economic uncertainty make investors have to rethink investing in the capital market. This study aims to examine the share of eac...
ver más
|
|
|
|
|
|
|
|
|
|
|
Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
ver más
|
|
|
|
|
|
|
|
|
|
|
sonia KOUKI
Pág. 28 - 38
In this paper, we empirically examine time-varying risk premia in the Tunisian foreign exchange market by applying GARCH-M modeling to the TND/Euro and TND/USD parities for 1 to 12 months forecasting horizons. Our ultimate objective is to help better man...
ver más
|
|
|
|
|
|
|
|
|
|
|
Mishelle Doorasamy,Prince Kwasi Sarpong
Pág. 93 - 100
Peters (1994) proposed the fractal market hypothesis (FMH) as an alternative to the efficient market hypothesis, following his criticism of the EMH. In this study, we analyse whether the fractal nature of a financial market determines its riskiness and d...
ver más
|
|
|
|
|
|
|
|
|
|
|
Mariya Georgieva Paskaleva,Ani Stoitsova-Stoykova
Pág. 172 - 179
We examine the market efficiency and the linkages between financial market dynamics and iTraxx Europe of the equity markets of South East Europe (SEE). Therefore, this study aims to answer whether there exists a difference between the stock market perfor...
ver más
|
|
|
|
|
|
|
|
|
|
|
Charles O. Manasseh,Chukwuka Kenneth Ozuzu,Jonathan E. Ogbuabor
Pág. 1474 - 1490
This study tests the consistency of the Nigerian Stock Market with the Efficient Market Hypothesis (EMH) in the semi-strong form using bonus issues as the information generating event. Using daily data, a total of 121 bonus issues were observed and exami...
ver más
|
|
|
|
|
|
|
|
|
|
|
John Muteba Mwamba
This paper investigates the persistence of hedge fund managers skills during periods of boom and/or recession. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to J...
ver más
|
|
|
|
|
|
|
|
|
|
|
Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod and Bin Zhang
The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rational...
ver más
|
|
|
|
|
|