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Market Efficiency in Foreign Exchange Markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2006 We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the efficiency of various foreign exchange ...
Barkoulas +18 more
arxiv +8 more sources
Market efficiency of cryptocurrency: evidence from the Bitcoin market [PDF]
Scientific Reports, 2023 This study examines whether the Bitcoin market satisfies the (weak-form) efficient market hypothesis using a quantum harmonic oscillator, which provides the state-specific probability density functions that capture the superimposed Gaussian and non ...
Eojin Yi +4 more
doaj +2 more sources
The market efficiency in the stock markets [PDF]
The European Physical Journal B, 2007 We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500 ...
Cajueiro +32 more
core +7 more sources
The market efficiency of the Tanzania stock market [PDF]
Banks and Bank Systems, 2016 The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient.
Josephine Njuguna
doaj +3 more sources
Entropy and Efficiency of the ETF Market [PDF]
Computational Economics, 2019 We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol discretisations of the ...
A Shmilovici +11 more
core +6 more sources
Market efficiency in agricultural futures markets [PDF]
Applied Economics, 2002 Market efficiency and unbiasedness are tested in four agricultural commodity futures markets - live cattle, hogs, corn, and soybean meal - using cointegration and error correction models with GQARCH-in-mean processes. Results indicate each market is unbiased in the long run, although cattle, hogs and corn futures markets exhibit short-run ...
Andrew M. McKenzie, Matthew T. Holt
openalex +4 more sources
, 2005 This CFS Working Paper has been presented at the CFSsymposium "Market Efficiency Today" held in Frankfurt/Main on October 6, 2005. In 2004 the Center for Financial Studies (CFS) in cooperation with the Johann Wolfgang Goethe University, Frankfurt/Main ...
Pesaran, M. Hashem
core +4 more sources
Real earnings management and stock returns: moderating role of cross-sectional effects [PDF]
AJAR (Asian Journal of Accounting Research), 2021 Purpose - The study aims at investigating the impact of real earnings management (REM) on the cross-sectional stock return after considering the moderating role of market effect, size effect, value effect and momentum effect. Design/methodology/approach -
Manish Bansal +2 more
doaj +1 more source
Banks, Markets, and Efficiency [PDF]
SSRN Electronic Journal, 2005 A competitive financial system can help reduce banks’ monopoly power and the associated inefficiencies. However, according to Diamond (J Polit Econ 105: 928–956, 1997) and Fecht (J Eur Econ Assoc 6(2), 2004) competition with the financial sector may also constrain the amount of liquidity insurance that banks can provide to households affected by ...
Fecht, Falko, Martin, Antoine
openaire +6 more sources
Testing the Insider Trading Anomaly in FTSE-350
Frontiers in Psychology, 2022 In recent studies, numerous anomalies against the weak and semi-strong-forms of efficient market hypothesis (EMH) have been found insignificant after controlling the small-firm effect.
Jinxia Meng, Leping Huang, Zhou Lu
doaj +1 more source