Analysis of the stock market anomalies in the context of changing the information paradigm [PDF]
Eastern Journal of European Studies, 2019 The present paper describes the results of a comprehensive research in the information efficiency of the Ukrainian stock market in the context of a financial paradigm transformation which causes a need to modify the EMH (efficient market hypothesis). The
Kostyantyn MALYSHENKO +3 more
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Cogent Economics & Finance, 2020 The purpose of this study is to examine the weak-form market efficiency hypothesis (EMH) for 8 African Frontier markets between 2001 and 2017. To achieve this purpose, we employ unit root testing procedures which are robust to both nonlinearities and ...
David de Villiers +2 more
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A Broad-Spectrum Computational Approach for Market Efficiency [PDF]
The Efficient Market Hypothesis (EMH) is one of the most investigated questions in Finance. Nevertheless, it is still a puzzle, despite the enormous amount of research it has provoked.
Olivier Brandouy, Philippe Mathieu
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A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan
, 2016 This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach.
Akihiko Noda +20 more
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Stock price prediction using support vector regression on daily and up to the minute prices
Journal of Finance and Data Science, 2018 The purpose of predictive stock price systems is to provide abnormal returns for financial market operators and serve as a basis for risk management tools. Although the Efficient Market Hypothesis (EMH) states that it is not possible to anticipate market
Bruno Miranda Henrique +2 more
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A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices [PDF]
This study utilizes tests based on ranks and signs suggested by Wright (2000), in addition to the traditional variance-ratio test, to examine the behavior of United Kingdom real estate and construction security indices.
James R. Webb +3 more
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The Efficiency Of Ukraine’s Stock Market [PDF]
International Economic Policy, 2006 The article is devoted to the study of the efficiency of Ukraine’s stock market based on the efficient market hypothesis (EMH) which assumes that the price of a financial instrument completely reflects all the information about a given asset.
Adilya Batroshyna
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Soros’s Reflexivity Concept in a Complex World: Cauchy Distributions, Rational Expectations, and Rational Addiction [PDF]
, 2013 George Soros makes an important analytical contribution to understanding the concept of reflexivity in social science by explaining reflexivity in terms of how his cognitive and manipulative causal functions are connected to one another by a pair of ...
Davis, John B.
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Adaptive market hypothesis: insights from BRIC-T countries’ stock markets
Financial Internet QuarterlyComparing the Efficient Market Hypothesis and Behavioral Finance, the Adaptive Markets Hypothesis (AMH), which identifies the extremes of these two hypotheses and adapts them to each other, argues that calendar anomalies can coexist, but also focuses on ...
Ozekenci Sureyya Yilmaz
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Efficient Market Hypothesis in South Africa: Evidence from Linear and Nonlinear Unit Root Tests [PDF]
Managing Global Transitions, 2015 This study investigates the weak form efficient market hypothesis (EMH) for five generalized stock indices in the Johannesburg Stock Exchange (JSE) using weekly data collected from 31st January 2000 to 16th December 2014.
Andrew Phiri
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