A Review of Relevant Literature on Capital Structure and Efficient Market Hypothesis

2012 ◽  
Author(s):  
Srinath D.M.N.S.W. Dissanayake
Keyword(s):  
Capital Structure ◽  
Relevant Literature ◽  
Efficient Market Hypothesis ◽  
Efficient Market

scholarly journals Oil Market Efficiency under a Machine Learning Perspective

Forecasting ◽  
2018 ◽  
Vol 1 (1) ◽  
pp. 157-168 ◽  
Author(s):  
Athanasia Dimitriadou ◽  
Periklis Gogas ◽  
Theophilos Papadimitriou ◽  
Vasilios Plakandaras
Keyword(s):  
Machine Learning ◽  
Selection Process ◽  
Relevant Literature ◽  
Oil Prices ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Support Vector ◽  
Efficient Market ◽  
Explanatory Variables ◽  
Oil Market

Forecasting commodities and especially oil prices have attracted significant research interest, often concluding that oil prices are not easy to forecast and implying an efficient market. In this paper, we revisit the efficient market hypothesis of the oil market, attempting to forecast the West Texas Intermediate oil prices under a machine learning framework. In doing so, we compile a dataset of 38 potential explanatory variables that are often used in the relevant literature. Next, through a selection process, we build forecasting models that use past oil prices, refined oil products and exchange rates as independent variables. Our empirical findings suggest that the Support Vector Machines (SVM) model coupled with the non-linear Radial Basis Function kernel outperforms the linear SVM and the traditional logistic regression (LOGIT) models. Moreover, we provide evidence that points to the rejection of even the weak form of efficiency in the oil market.

Value Migration in the Context of Efficient Market Hypothesis

2009 ◽  
Vol 3 (1) ◽  
pp. 49-55
Author(s):  
Wiesław M. Grudzewski ◽  
Irena K. Hejduk ◽  
Dariusz Siudak
Keyword(s):  
Efficient Market Hypothesis ◽  
Efficient Market

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

Non-Linearity and Chaotic Behaviour in Cyprus Stock Market

2015 ◽  
Vol 5 (4) ◽  
Author(s):  
Athina Bougioukou
Keyword(s):  
Lyapunov Exponent ◽  
Stock Market ◽  
Chaos Theory ◽  
Linear Dependence ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Chaotic Behaviour ◽  
Maximum Lyapunov Exponent ◽  
Efficient Market ◽  
General Index

The intention of this research is to investigate the aspect of non-linearity and chaotic behavior of the Cyprus stock market. For this purpose, we use non-linearity and chaos theory. We perform BDS, Hinich-Bispectral tests and compute Lyapunov exponent of the Cyprus General index. The results show that existence of non-linear dependence and chaotic features as the maximum Lyapunov exponent was found to be positive. This study is important because chaos and efficient market hypothesis are mutually exclusive aspects. The efficient market hypothesis which requires returns to be independent and identically distributed (i.i.d.) cannot be accepted.

Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

2011 ◽  
Author(s):  
Luboš Střelec ◽  
Theodore E. Simos ◽  
George Psihoyios ◽  
Ch. Tsitouras ◽  
Zacharias Anastassi
Keyword(s):  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Robust Approach

scholarly journals Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 707
Author(s):  
Claudiu Tiberiu Albulescu ◽  
Aviral Kumar Tiwari ◽  
Phouphet Kyophilavong
Keyword(s):  
Capital Markets ◽  
Stock Markets ◽  
Transition Period ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Eastern European ◽  
Price Behavior ◽  
Financial Systems ◽  
Efficient Market ◽  
Level Of Significance

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

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