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Mai Ahmed Abdelzaher
Pág. 18 - 25
This article aims is to verify if the Egyptian stock market has information efficiency (market efficiency assumptions) by studying the presence of time series properties for daily stock returns between 2005 and 2015. Parametric and non-parametric tests a...
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Enrique Rafael González Pozo
This paper?s objective is to demystify the world of investing, first by showing and exposing the results the greatest money managers in the Wall Street have obtained over the last years compared to the performance of their benchmark indexes. Index invest...
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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...
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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...
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Beranek William
Pág. pp. 105 - 124
In OLS regression studies of changes in Treasury Hill (TB) rates on anticipated money, investigators have found negative coefficients on anticipated money, basically over the period 1977-1982, which is inconsistent with the market efficiency hypothesis.\...
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Narendra Bhana
AbstractThe objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange (JSE) overreacted to the arrival of unanticipated information during the period 1975-1992. In this article, a modified version of the Efficien...
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Narendra Bhana
AbstractThe objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange (JSE) overreacted to the arrival of unanticipated information during the period 1975-1992. In this article, a modified version of the Efficien...
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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...
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Lya Paola Sierra,Luis Eduardo Girón,Carolina Osorio
Pág. 15 - 22
This article evaluates the hypothesis that returns of metal prices are unpredictable (i.e under the weak form Efficient Market Hypothesis). The possible effect that financialization in the commodity market has had in the predictability of this is also ev...
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Glener de Almeida Dourado,Benjamin Miranda Tabak
Pág. 517?553
The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear depende...
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P. J. Heyns,W. D. Hamman,E. V.D.M. Smit
AbstractThis article follows the methodology employed by Sloan to evaluate whether share prices fully reflect the information about future earnings contained in the cash flow and accruals components of current earnings. The first hypothesis predicted tha...
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Muhammad SalehMemon, Akmal khan, Dr. Abdullah Sethar, Dr.Muhammad Ali, Dr.Faiz Muhammad Shaikh, Nusrat Abbassi
Pág. 2954 - 2959
Market efficiency has been a kind of pivot both for academic research and for policymaking concerning stock market for the last decades. But this hypothesis recently keeps being criticized both from archival and survey strategy. In this paper we also cri...
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Ines Ayadi,Abderrazak Ellouze
Pág. 345 - 354
The objective of this research is to examine the relationship between market structure and the performance of the Tunisian banking system over the period 1990-2009. The Data Envelopment Analysis (DEA) method was used to assess the scores of x-efficiency ...
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Jelena Radojicic,Ognjen Radovic
Pág. 053 - 069
This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of retu...
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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...
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Min-woo Kang
This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical fin...
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Jaehwan Park and Byungkwon Lim
This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash) in t...
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Mahamuda Firoj,Sharmina Khanom
Pág. 99 - 103
Efficiency in a foreign exchange market (FEM) is very essential for a developing economy like Bangladesh as the foreign exchange rates play a critical role to determine the various macroeconomic policies and issues of an economy. Thus the main objective ...
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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...
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Maria del Mar Miralles-Quiros,Jose Luis Miralles-Quiros,Luis Miguel Valente-Gonçalves
Pág. 414 - 435
Market efficiency implies stock prices fully reflect all publicly available information instantaneously and, thus, no investment strategies can systematically earn abnormal returns. However, market efficiency per se is not testable. In order to analyze w...
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