Search Results - subject_exact:"Efficient market hypothesis"

Bitcoin market efficiency analysis pre- and post-COVID-19 pandemic : an interrupted time series and ARIMAX approach

Makoni, Tendai; Mushori, Providence; Chikobvu, Delson - 2026

The COVID-19 pandemic constitutes one of the most significant exogenous shocks to global financial markets in recent history, raising questions about the robustness of market efficiency under extreme uncertainty. This study examines whether the pandemic affected the weak-form efficiency of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628708

Exploring market efficiency with GRU-D neural networks : evidence from global stock markets

Ben Jbara, Abdelhamid; Rabah Gana, Marjene; Dakhlaoui, Mejda - 2026

This study revisits the Efficient Markets Hypothesis by employing a GRU-D neural network to predict stock return distributions across global equity markets, accounting for missing and irregular data. It examines whether stock returns exhibit statistically significant departures from purely...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643213

The fallacy of concentration

Kritzman, Mark; Turkington, David - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647175

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The fallacy of concentration

Kritzman, Mark; Turkington, David - 2025

Book / Working Paper

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

Alloul, Fouzia; Ferrouhi, El Mehdi - 2025

The Covid-19 pandemic profoundly disrupted global economies and financial systems, alte-ring investor behavior and challenging traditional market dynamics. Among these disruptions, calendar anomalies, which challenge the efficient market hypothesis, offer a unique lens to assess market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434454

Adaptive market hypothesis: insights from BRIC-T countries' stock markets

Yılmaz Özekenci, Süreyya - 2025

Comparing 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 how investor behavior reacts to changing...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438378

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Adaptive market hypothesis: insights from BRIC-T countries' stock markets

Yılmaz Özekenci, Süreyya - 2025

Article

Exchange rate volatility and ESG performance : an international empirical analysis

Al Amosh, Hamzeh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015462025

What effect does the mandatory adoption of IFRS have on the decision to withdraw an IPO?

Alidarous, Manal - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015551265

The choice of unsmoothing coefficients for real estate appreciation indices : with notes on correction procedures, appraisal-smoothing, nonsynchronous appraisal, asset return correlation and market efficiency

Gohs, Andreas Marcus - 2025

Due to the smoothing problem with appraisal-based indices, there is uncertainty about the true volatility of value change returns on real estate markets. The selection of unsmoothing procedures proposed in the literature obviously cannot remedy this. The article argues that it is hardly possible...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015515426

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The choice of unsmoothing coefficients for real estate appreciation indices: With notes on correction procedures, appraisal-smoothing, nonsynchronous appraisal, asset return correlation and market efficiency

Gohs, Andreas Marcus - 2025

Book / Working Paper

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

Bock, Jonas; Geissel, Sebastian - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014530836

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://ebvufind01.dmz1.zbw.eu/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://ebvufind01.dmz1.zbw.eu/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://ebvufind01.dmz1.zbw.eu/10014505807

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

Shaik, Muneer; Kamdar, Pratik; Nawaz, Nishad; Rabbani, … - 2024

This study investigates how the Global Financial Crisis has affected the weak-form Efficient Market Hypothesis (EMH) on the stock prices of sixteen nations throughout the globe based on a suite of Fourier unit root tests. Considering the smooth structural breaks, we employed the Fourier-based...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337835

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

Abadir, Karim Maher; Talmain, Gabriel - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338755

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191775

Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2026 - Original version: September 2025, this version: January 2026

Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605098

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Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025

Book / Working Paper

Diversifier, hedge, or safe haven? : Bitcoin's role against the Brazilian stock market during the COVID-19 turmoil

Dias, Vitor Fonseca Machado Beling; Malaquias, Rodrigo … - 2026

The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638920

Feedback effects, market valuations, and real efficiency

Park, Junghum - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015641953

The inefficient markets hypothesis : a theory of casino capitalism

Hellwig, Christian - 2026

I develop a general equilibrium model of investment and equity markets in which departures from the Efficient Markets Hypothesis generate "Casino Capitalism": time-inconsistent, shorttermist firm decisions, firm-level over-investment coupled with inefficient liquidation of positiveNPV projects,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666633

Measuring managerial skill using value added and alpha : evidence from the Korean equity fund market

Lee, Jaeram; Lee, Changjun - 2026

This paper aims to examine whether managerial skill can be effectively measured using value added and alpha in the Korean equity fund market. We document that fund managers generate positive and persistent skill when measured by both gross value added and gross alpha. Unlike equilibrium-based...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670042

Measuring and benchmarking time-varying market efficiency

Mu, Yali; Cramon-Taubadel, Stephan von; Rosero, Gabriel; … - 2026

This paper develops and implements an analytical framework combining spatial space techniques with panel stochastic frontier models to assess and benchmark time-varying market efficiency, with China's pork market serving as the empirical application. We analyze spatial and temporal dynamics in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666807

Market efficiency when machines access information

Barbopoulos, Leonidas G.; Dai, Rui; Putnins, Talis J.; … - 2026 - This version: June 17, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675307

A transfer learning approach for testing the adaptive market hypothesis : evidence from BWP/USD to cryptocurrency markets

Makatjane, Katleho; Shoko, Claris; Makatjane, Tiisetso - 2026

The efficient market hypothesis, which holds that prices completely reflect available information, is commonly used in financial market analysis. However, emerging empirical evidence shows that market efficiency develops with time, as posited by the adaptive market hypothesis (AMH), with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059384

Equity valuation without DCF

Cho, Thummim; Polk, Christopher; Rogers, Robert - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060053

Empirical evidence of the holiday effect on the Indian stock market

Kumar, Gaurav; Bhartendu Singh - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677425

Empirical analysis of lead-lag relationship in the Indian stock market amid the COVID-19 pandemic

Manogna R. L.; Singh, Aditya Anil - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677354

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://ebvufind01.dmz1.zbw.eu/10013486264

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

Lindgren, Jussi - 2023

This research article provides criticism and arguments why the canonical framework for derivatives pricing is 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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014233168

Calendar anomalies and market volatility in selected cryptocurrencies

Naz, Farah; Sayyed, Madeeha; Rehman, Ramiz Ur; Naseem, … - 2023

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014466532

On the volatility and market inefficiency of Bitcoin during the COVID-19 pandemic

Rufino, Cesar C. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014287859

Measuring conditional correlation between financial markets' inefficiency

Di Sciorio, Fabrizio; Mattera, Raffaele; Trinidad … - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015125319

Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440677

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Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2023

Book / Working Paper

Forecasting soccer matches with betting odds : a tale of two markets

Hegarty, Tadgh; Whelan, Karl - 2023

Book / Working Paper

From zero-intelligence to Bayesian learning : the effect of rationality on market efficiency

Giachini, Daniele; Mousavi, Shabnam; Ottaviani, Matteo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015485687

A law and economic analysis of trading through dark pools

Ntourou, Artemisa; Mallios, Aineas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015202586

Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments : an agent-based modeling approach

Wang, Liming; Sun, Xuchu; Zhu, Hongliang; Li, Tangrong - 2025

This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372156

Gambling-motivated attention and improved market efficiency

Khanthavit, Anya - 2025

Information is incorporated into stock prices when investors trade; consequently, prices respond only to the information investors pay attention to. Because market efficiency requires rapid information dissemination and fully informative prices, attention necessarily affects the level of market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373948

Explaining and predicting momentum performance shifts across time and sectors

Mamais, Konstantinos; Thomakos, Dimitrios D.; Vlamis, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374212

Wish or reality? : on the exploitability of triangular arbitrage in cryptocurrency markets

Muck, Matthias; Schmidl, Thomas; Wolf, Julian - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015210351

Rewiring repo

Chang, Jin Wook; Klee, Elizabeth; Yankov, Vladimir - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015271468

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272951

Incomplete markets as correlated distortions

Armangue-Jubert, Tristany; Pietrobon, Davide; Ruggieri, … - 2025

We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272991

Non-transitive patterns in sports match outcomes : a profitable anomaly

Ours, Jan C. van - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672508

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Non-transitive patterns in sports match outcomes : a profitable anomaly

Ours, Jan C. van - 2025

Book / Working Paper

Non-transitive patterns in sports match outcomes : a profitable anomaly

Ours, Jan C. van - 2025

Book / Working Paper

Wine market efficiency : is glass half full or half empty?

Shynkevich, Andrei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330734

Subjective probabilities under behavioral heuristics

Rahman, Oriana; Semenov, Andrei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331645

Market efficiency and its determinants : macro-level dynamics and micro-level characteristics of cryptocurrencies

Bouteska, Ahmed; Sharif, Taimur; Isskandarani, Layal; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331959

Impact of geopolitical turmoil in the developing European stock markets vs. the global benchmark indices : an event study analysis of the Russo-Ukrainian war

Grinius, Meinardas; Baležentis, Tomas - 2025

The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338641

Bank transparency and market efficiency

Beyer, Andreas; Dautovic, Ernest - 2025

This paper explores the impact of bank transparency on market efficiency by comparing banks that disclose supervisory capital requirements to those that remain opaque. Due to the informational content of supervisory capital requirements for the market this opacity might hinder market efficiency....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339637