Search Results - subject:"efficient market hypothesis"

Calendar anomalies in African stock markets : does the effect of covid-19 pandemic matter?

Alloul, Fouzia; Ferrouhi, El Mehdi - In: Organizations and markets in emerging economies 16 (2025) 1, pp. 155-192

challenging traditional market dynamics. Among these disruptions, calendar anomalies, which challenge the efficient market … hypothesis, offer a unique lens to assess market efficiency during crises. The objective of this study is to examine the impact …

Persistent link: https://www.econbiz.de/10015434454

Regime-specific dynamics and informational efficiency in cryptomarkets : evidence from Gaussian mixture models

Jamhamed, Fayssal; Martin, Franck; Rondeau, Fabien; … - 2024

Persistent link: https://www.econbiz.de/10015191775

Oil market efficiency, quantity of information, and oil market turbulence

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...

Persistent link: https://www.econbiz.de/10014490913

Informational efficiency of world oil markets : one great pool, but with varying depth

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper investigates the informational efficiency of global crude oil markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed oil price behavior from the Random Walk benchmark, representing an efficient market. The...

Persistent link: https://www.econbiz.de/10014505288

"My name is Bond. Green Bond." : informational efficiency of climate finance markets

Gronwald, Marc; Wadud, Sania - 2024

This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed asset price behavior from the Random Walk benchmark, which represents an efficient market. The...

Persistent link: https://www.econbiz.de/10014505807

Evolution of stock market efficiency in Europe : evidence from measuring periods of inefficiency

Bock, Jonas; Geissel, Sebastian - In: Finance research letters 62 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014530836

Beyond co-integration : new tools for inference on co-movements

Abadir, Karim Maher; Talmain, Gabriel - 2024

Persistent link: https://www.econbiz.de/10015338755

The global financial crisis impact on stock market efficiency : a Fourier unit root tests analysis

Shaik, Muneer; Kamdar, Pratik; Nawaz, Nishad; Rabbani, … - In: Cogent economics & finance 12 (2024) 1, pp. 1-16

This study investigates how the Global Financial Crisis has affected the weak-form Efficient Market Hypothesis (EMH) on … smooth structural breaks, we employed the Fourier-based unit root tests to assess the weak-form efficient market hypothesis …

Persistent link: https://www.econbiz.de/10015337835

What do we learn from a machine understanding: news content? : stock market reaction to news

Brière, Marie; Huynh, Karen; Laudy, Olav; Pouget, … - 2023

Persistent link: https://www.econbiz.de/10013486264

A generalized model for pricing financial derivatives consistent with efficient markets hypothesis : a refinement of the black-scholes model

Lindgren, Jussi - In: Risks : open access journal 11 (2023) 2, pp. 1-5

incomplete and why the delta-hedging approach is not appropriate. An argument is put forward, based on the efficient market … hypothesis, why a proper risk-adjusted discount rate should enter into the Black-Scholes model instead of the risk-free rate. The …

Persistent link: https://www.econbiz.de/10014233168