Are clean energy markets efficient? A multifractal scaling and herding behavior analysis of clean and renewable energy markets before and during the COVID19 pandemic. [PDF]
Heliyon, 2023 Memon BA +3 more
europepmc +1 more source
Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis [PDF]
The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is ...
Marian Berneburg
core
The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?
International Journal of Management and EconomicsThe present study aims to verify the autumn effect in the gold market, first presented 10 years ago by Dirk Baur in the paper “The autumn effect of gold” and to investigate the calendar effects occurring for other precious metals. This empirical research
Potrykus Marcin, Augustynowicz Urszula
doaj +1 more source
On the importance of clean accounting measures for the tests of stock market efficiency [PDF]
Tests of the semi-strong form of the efficient market hypothesis (EMH) typically use earnings and book value of equity as benchmarks of fundamental value.
Jiri Novak, Mattias Hamberg
core +1 more source
The efficient market hypothesis and identification in structural VARs [PDF]
Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature.
Daniel L. Thornton, Lucio Sarno
core
, 2006 This paper focuses on two major arguments the momentum effect and market-learns hypothesis concerning the validity of the Efficient Market Hypothesis are summarized. Six empirical experiments with 12 U.S. Industry Portfolio are conducted. They not only provide the evidence against some of the EMH assumptions, but also aim to address the formation of ...
openaire +1 more source
The roles of liquidity and delay in financial markets based on an optimal forecasting model. [PDF]
PLoS One, 2023 Yang GH, Ma SQ, Bian XD, Li JC.
europepmc +1 more source
Real Estate Market Efficiency: A Survey of Literature [PDF]
In this paper, we discuss the question whether or not the real estate market is efficient. We define market efficiency and the efficient market hypothesis as it had been developed in the literature on financial markets.
Gunther Maier, Shanaka Herath
core
The efficient market hypothesis re-visited: new evidence from 100 US firms [PDF]
In this paper, we test the efficient market hypothesis for 100 US firms listed on the New York Stock Exchange. To test the unit root null hypothesis, we develop a generalized autoregressive heteroskedasticity (GARCH) model that not only caters for the ...
Paresh Kumar Narayan, Ruipeng Liu
core +1 more source
The adaptive market hypothesis and high frequency trading. [PDF]
PLoS One, 2021 Meng K, Li S.
europepmc +1 more source