Price Earning Ratio Effect : A Test of the Semi Strong Form of Efficient Market Hypothesis in Indian Stock Market

2013 ◽  
Author(s):  
VDMV Lakshmi ◽  
Bijan Roy
Keyword(s):  
Stock Market ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Efficient Market ◽  
Ratio Effect ◽  
Indian Stock Market

scholarly journals Stock market under the 2016 Brazilian presidential impeachment: a test in the semi-strong form of the efficient market hypothesis,

2018 ◽  
Vol 29 (78) ◽  
pp. 405-417
Author(s):  
Alexandre Ricardo de Aragão Batista ◽  
Uxi Maia ◽  
Alécio Romero
Keyword(s):  
Stock Market ◽  
Moving Average ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Autoregressive Moving Average ◽  
Specific Situation ◽  
Efficient Market ◽  
Time Series Regression ◽  
Cumulative Abnormal Returns

ABSTRACT This article aims at contributing to study the stock market’s reaction up to the point of generating significant abnormal returns or cumulative abnormal returns within the Brazilian impeachment period. By means of the efficient market hypothesis (EMH), in its semi-strong form, the purpose was verifying whether the presidential impeachment that took place in Brazil in 2016, in 3 different dates, brought the expected reaction from the stock market on the Brazilian Stocks, Commodities and Futures Exchange (BM&FBOVESPA). The theme is relevant, as it addresses aspects of politics and economic theory and their interactions in stock markets. It impacts in the area of capital markets, because this suggests that economic players can, through their expectations and information, see adverse reactions in the market. The methodology analytically employed encompasses a brief literature review as a theoretical basis about the institutions involved and it refers historically to impeachment events. Quantitatively, the methodology consists in the study of events, so that the expectations are observed by means of time-series regression models based on the autoregressive-moving-average (ARMA) models. The result found, under three major events that culminated in the 2016 Brazilian presidential impeachment, was that no significant statistics has been determined, at a 5% level, in all estimated windows and in all events. Statistically, it was not possible to reject the hypothesis that the abnormal returns and the cumulative abnormal returns equal zero. So, the markets have been considered to be well-informed regarding the events, in this specific situation, i.e. according to the EMH, in its semi-strong form, the markets have reacted as expected.

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.

scholarly journals Evidence for and Against the Validity of Efficient Market Hypothesis

2018 ◽  
Vol 56 (3) ◽  
pp. 369-387
Author(s):  
Miljan Leković
Keyword(s):  
Market Efficiency ◽  
Financial Market ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Efficient Market ◽  
Market Anomalies ◽  
Development Path

Abstract The concept of an efficient financial market, in literature known as efficient market hypothesis (EMH), has had a long and difficult development path from the idea itself to its final conception, as one of the central paradigms in modern finance. It has been tested and critically reviewed for decades, and the two basic types of problems it has encountered are theoretical paradoxes and market anomalies. The aim of the paper is to examine the validity of EMH through various financial market efficiency tests and the results of previous research. The intention is to answer the question of whether, despite theoretical paradoxes and market anomalies, the notion of validity can be attributed to the concept of an efficient financial market. In this regard, the paper presents plenty of evidence for and against the validity of weak, semi-strong, and strong form of EMH, to conclude that, even after more than half a century of research, financial literature has not reached a consensus on the presence or absence of the validity of this hypothesis.

scholarly journals An Empirical Analysis of the Efficient Market Hypothesis in China’s Stock Market

2021 ◽  
Vol 4 (3) ◽  
pp. 1-5
Author(s):  
Jiaxuan Xu
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Empirical Research ◽  
Empirical Analysis ◽  
Stock Prices ◽  
Efficient Market Hypothesis ◽  
Security Market ◽  
Stock Trading ◽  
Efficient Market ◽  
Basic Framework

The efficient market hypothesis is one of the most important theories in finance. According to this hypothesis, in a stock market with sound laws, good functions, high transparencies, and extensive competitions, all valuable information is timely, accurately, and fully reflected in the trend of stock prices including the current and future values of enterprises. Unless there are market manipulations, it would be impossible for investors to gain more above the average profits in the market by analyzing former prices. Since the efficient market hypothesis has been introduced, it has become an interest in the empirical research of the security market. It is one of the most controversial investment theories and there are many evidences supporting and also opposing this hypothesis. Nevertheless, this hypothesis still holds an important status in the basic framework of mainstream theories in modern financial markets. By analyzing simulated investment transactions in regard to stock trading of three different enterprises, this paper verified that the efficient market hypothesis is partially valid.

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

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