Informational Efficiency In Dow Jones Index Companies Using Anova Tests

In this article, it has been tried to investigate two dimensions of information efficiency (secret news leakage and speed of impact of news) about the companies that make up the Dow Jones index (DJI). For this purpose, the price data of the days before and after the reporting of quarterly financial statements for ten years (from 2012 to 2021) have been collected and analyzed based on ANOVA statistical tests. The price fluctuations have been calculated and in both of the corporate level and the ‘overall companies’ level. All the fluctuations have been examined under the framework of the five hypotheses and the two mentioned levels. Ultimately, based on the fluctuations in the specified framework, the informational efficiency of the market in both mentioned dimensions can be confirmed