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Year of publication
Subject
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Efficient market hypothesis 5,917 Effizienzmarkthypothese 5,824 Theorie 2,380 Theory 2,377 Börsenkurs 1,659 Share price 1,654 USA 1,575 United States 1,566 Aktienmarkt 1,317 Stock market 1,274 Schätzung 882 Estimation 878 Capital income 631 Kapitaleinkommen 631 Finanzmarkt 579 Financial market 578 Anlageverhalten 459 Behavioural finance 456 Volatilität 420 Volatility 419 Deutschland 379 Efficiency 377 Market efficiency 372 Effizienz 352 Germany 349 Welt 299 World 299 Wertpapierhandel 291 Securities trading 290 CAPM 279 Devisenmarkt 269 Portfolio selection 268 Portfolio-Management 268 Foreign exchange market 259 Ankündigungseffekt 257 Announcement effect 257 market efficiency 251 efficient market hypothesis 247 Börse 229 Finanzanalyse 225
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Online availability
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Free 1,509 Undetermined 1,024
Type of publication
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Article 3,849 Book / Working Paper 2,496 Other 3
Type of publication (narrower categories)
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Article in journal 3,388 Aufsatz in Zeitschrift 3,388 Graue Literatur 1,056 Non-commercial literature 1,056 Working Paper 1,007 Arbeitspapier 976 Hochschulschrift 402 Thesis 336 Aufsatz im Buch 298 Book section 298 Bibliografie enthalten 93 Bibliography included 93 Dissertation u.a. Prüfungsschriften 55 Collection of articles written by one author 53 Sammlung 53 Collection of articles of several authors 44 Sammelwerk 44 Systematic review 29 Übersichtsarbeit 29 Aufsatzsammlung 20 Article 19 Konferenzschrift 18 Conference paper 16 Konferenzbeitrag 16 Amtsdruckschrift 14 Government document 14 Case study 11 Fallstudie 11 Conference proceedings 9 Commentary 8 Forschungsbericht 8 Kommentar 8 Lehrbuch 8 Reprint 8 Textbook 8 Glossar enthalten 5 Glossary included 5 Handbook 5 Handbuch 5 Mehrbändiges Werk 4
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Language
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English 5,535 German 465 Undetermined 213 French 55 Spanish 37 Italian 13 Portuguese 13 Polish 8 Russian 5 Czech 4 Lithuanian 3 Hungarian 2 Swedish 2 Turkish 2 Danish 1 Croatian 1 Dutch 1
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Author
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Caporale, Guglielmo Maria 67 Plastun, Alex 50 Gil-Alaña, Luis A. 35 Kirchler, Michael 26 Huber, Jürgen 23 Subrahmanyam, Avanidhar 23 Makarenko, Inna 22 Vives, Xavier 17 Kim, Jae H. 16 Kochman, Ladd Michael 16 Shiller, Robert J. 15 Theissen, Erik 15 Chordia, Tarun 14 Hudson, Robert 14 Lim, Kian-Ping 14 Lo, Andrew W. 14 Paul, Rodney J. 14 Weinbach, Andrew P. 14 Chung, Dennis Y. 13 Hrazdil, Karel 13 Metghalchi, Massoud 13 Zalewska-Mitura, Anna 13 Ryu, Doojin 12 Vaughan Williams, Leighton 12 Charles, Amélie 11 Darné, Olivier 11 Fafchamps, Marcel 11 Gillet, Roland 11 Goodwin, Randall 11 Jawadi, Fredj 11 Pesaran, M. Hashem 11 Shleifer, Andrei 11 Vieito, João Paulo 11 Bohl, Martin T. 10 Gil-Alana, Luis 10 Gil-Alana, Luis A. 10 Kirchsteiger, Georg 10 Malkiel, Burton G. 10 Menkhoff, Lukas 10 Mittnik, Stefan 10
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Institution
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National Bureau of Economic Research 40 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 21 Center for Economic Research <Tilburg> 7 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 6 CESifo 4 Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 4 C.E.P.R. Discussion Papers 3 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 3 Erasmus Research Institute of Management 3 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Springer Fachmedien Wiesbaden 3 Bankwirtschaftliches Kolloquium <1989, Frankfurt, Main> 2 Barcelona Graduate School of Economics (Barcelona GSE) 2 Berliner Wissenschafts-Verlag 2 Centre for Economic Policy Research 2 Centre for International Economic Studies 2 Deutsche Vereinigung für Finanzanalyse und Anlageberatung 2 EconWPA 2 European University Institute / Department of Economics 2 Federal Reserve Bank of St. Louis 2 Federal Reserve System / Board of Governors 2 HAL 2 Institut ekonomických studií, Univerzita Karlova v Praze 2 Institut für Wirtschaftswissenschaften <Wien> 2 Institute of European Finance <Bangor, Gwynedd> 2 Instituto Valenciano de Investigaciones Económicas 2 International Energy Agency 2 Kansantaloustieteen Laitos <Tampere> 2 Keleti Károly Gazdasági Kar, Óbudai Egyetem 2 Munich Economic Summit <2, 2003, München> 2 New York Stock Exchange 2 Nomos Verlagsgesellschaft 2 Rodney L. White Center for Financial Research 2 School of Economics and Finance <Brisbane> 2 Society for Computational Economics - SCE 2 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 2 University of Chicago / Center for Research in Security Prices 2 University of Essex / Department of Economics 2 University of Strathclyde / Department of Economics 2 Université Paris-Dauphine 2
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Published in...
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Working paper / National Bureau of Economic Research, Inc. 96 Journal of banking & finance 80 Applied financial economics 70 Journal of financial economics 70 International review of financial analysis 67 Applied economics 62 The journal of futures markets 51 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 45 The review of financial studies 43 Discussion paper / Centre for Economic Policy Research 42 Applied economics letters 41 Finance research letters 41 Journal of international financial markets, institutions & money 41 NBER working paper series 40 Economics letters 39 The European journal of finance 38 International review of economics & finance : IREF 33 The journal of finance : the journal of the American Finance Association 32 Europäische Hochschulschriften / 5 31 Research in international business and finance 31 Review of quantitative finance and accounting 31 Finance India : the quarterly journal of Indian Institute of Finance 29 Journal of international money and finance 27 International journal of economics and finance 26 Economic modelling 25 Energy economics 24 Journal of empirical finance 23 Pacific-Basin finance journal 23 Journal of financial markets 22 Global finance journal 21 Investment management and financial innovations 21 Journal of economic behavior & organization : JEBO 21 Journal of financial and quantitative analysis : JFQA 21 MPRA Paper 21 Gabler Edition Wissenschaft 20 Journal of accounting & economics 20 Journal of economics and finance 20 Journal of emerging market finance 20 Management science : journal of the Institute for Operations Research and the Management Sciences 20 The journal of real estate finance and economics 20
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Source
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ECONIS (ZBW) 5,984 RePEc 226 USB Cologne (EcoSocSci) 79 EconStor 50 BASE 9
Showing 1 - 50 of 6,348
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...
Persistent link: https://ebtypo.dmz1.zbw/10012814029
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Are African stock markets efficient? : a comparative analysis between six African markets, the UK, Japan and the USA in the period of the pandemic
Dias, Rui; Carvalho, Luísa Cagica - In: Naše gospodarstvo : NG 68 (2022) 1, pp. 35-51
The aim of this study is to test and compare the efficient market hypothesis, in its weak form, on the stock markets of Botswana, Egypt, Kenya, Morocco, Nigeria, South Africa, Japan, the UK and the USA from 2 September 2019 to 2 September 2020. This study is based on the following research...
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Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange
Karasiński, Jacek; Zduńczak, Patryk - In: Journal of economics & management 43 (2021) 1, pp. 206-224
Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...
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A technical approach to equity investing in South Africa : a tale of two indexes
Metghalchi, Massoud; Kagochi, John; Hayes, Linda - In: Cogent economics & finance 9 (2021) 1, pp. 1-20
This research uses Simple Moving Averages and four other well-known indicators to investigate the usefulness of the Technical Analysis approach to the Johannesburg stock exchange (JSE) in South Africa. Technical indicators are applied to two JSE indexes representing large cap and small cap...
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Regime-switching determinants of mutual fund performance in South Africa
Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies : open access journal 9 (2021) 4, pp. 1-20
This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...
Persistent link: https://ebtypo.dmz1.zbw/10012799837
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Overconfidence bias, self-attribution bias and investor decisions : moderating role of information acquisition
Farrukh Naveed; Taib, Hasniza Mohd - In: Pakistan journal of commerce and social sciences 15 (2021) 2, pp. 354-377
The purpose of this paper is to empirically test the association of behavioral biases like overconfidence bias and self-attribution bias, and information acquisition with individual investors decisions. This study also extends its contributions in understanding the role of information...
Persistent link: https://ebtypo.dmz1.zbw/10012599903
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The efficiency of the Polish zloty exchange rate market : the uncovered interest parity and fractal analysis approaches
Czech, Katarzyna; Pietrych, Łukasz - In: Risks : open access journal 9 (2021) 8, pp. 1-17
The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the...
Persistent link: https://ebtypo.dmz1.zbw/10012612368
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Efficiency testing of prediction markets : martingale approach, likelihood ratio and Bayes factor analysis
Richard, Mark; Večeř, Jan - In: Risks : open access journal 9 (2021) 2/31, pp. 1-20
This paper studies efficient market hypothesis in prediction markets and the results are illustrated for the in-play football betting market using the quoted odds for the English Premier League. Our analysis is based on the martingale property, where the last quoted probability should be the...
Persistent link: https://ebtypo.dmz1.zbw/10012426965
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By his words alone : the economic consequences of Rodrigo Duterte
Balderas, Elain Brianne O.; Bernardo, Alyanna Maria … - In: The Philippine review of economics : a joint … 57 (2020) 1, pp. 71-100
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A review of the post-earnings-announcement drift
Fink, Josef - 2020 - Working paper: 14.06.2020
Persistent link: https://ebtypo.dmz1.zbw/10012418372
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Random walks and market efficiency tests : evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic
Dias, Rui; Teixeira, Nuno Miguel; Machova, Veronika; … - In: Oeconomia Copernicana 11 (2020) 4, pp. 585-608
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Intraday patterns in returns on the Romanian and Bulgarian stock markets
Anghel, Dan Gabriel; Ţilică, Elena Valentina; … - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 92-114
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News-driven expectations and volatility clustering
Inoua, Sabiou M. - In: Journal of risk and financial management : JRFM 13 (2020) 1/17, pp. 1-14
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for...
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Betting market efficiency in the presence of unfamiliar shocks : the case of ghost games during the COVID-19 pandemic
Fischer, Kai; Haucap, Justus - 2020
Betting markets have been frequently used as a natural laboratory to test the efficient market hypothesis and to obtain insights especially for financial markets. We add to this literature in analyzing the velocity and accuracy in which market expectations adapt to an exogenous shock: the...
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Persistent link: https://ebtypo.dmz1.zbw/10012261187
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Efficient markets hypothesis in the time of COVID-19
Vasileiou, Evangelos - In: Review of Economic Analysis : REA 12 (2020) 2, pp. 1-28
This paper examines how the largest stock market of the world, the U.S., and particularly the S&P500 index, reacted during the COVID-19 outbreak (02.01.2020-30.04.2020). Using simple financial and corporate analysis (adopting Constant Growth Model) procedures for our theoretical framework, we...
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Review papers for journal of risk and financial management (JRFM)
McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 8/185, pp. 1-18
This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US)...
Persistent link: https://ebtypo.dmz1.zbw/10012321338
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Betting market efficiency in the presence of unfamiliar shocks : the case of ghost games during the COVID-19 pandemic
Fischer, Kai; Haucap, Justus - 2020
Betting markets have been frequently used as a natural laboratory to test the efficient market hypothesis and to obtain insights especially for financial markets. We add to this literature in analyzing the velocity and accuracy in which market expectations adapt to an exogenous shock: the...
Persistent link: https://ebtypo.dmz1.zbw/10012271737
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...
Persistent link: https://ebtypo.dmz1.zbw/10013201335
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Análisis de la versión débil de la hipótesis del mercado eficiente en el Perú
Espino, Freddy - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013207607
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Technical trading rules' profitability and dynamic risk premiums of cryptocurrency exchange rates
Masuku, Khumbulani L.; Gopane, Thabo J. - In: Journal of capital markets studies 6 (2022) 1, pp. 6-32
Purpose - The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy-hold strategy in Bitcoin exchange rate returns. Design/methodology/approach - The study tests the technical trading rule of fixed moving average...
Persistent link: https://ebtypo.dmz1.zbw/10012887325
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A comparison of international market indices for measuring market efficiency based on price-volume relationship
Çıralı, Sunay - In: Journal of capital markets studies 6 (2022) 1, pp. 90-105
Purpose - The main purpose of the research is to determine if the relationship between trading volume and price changes is connected to market effectiveness and to use the volume-price relationship to compare the efficiency levels of foreign markets. The degree of the relationship is determined...
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Market misreaction? : evidence from cross-border acquisitions
Krishnan, CNV; Wu, Jialun - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-19
Our goal in this paper is to answer this research question: Do investors understand the longer-term value-implications of cross border mergers and acquisitions, as at the time of their announcements? We examine acquirers’ operating efficiencies around and after cross-border acquisitions and...
Persistent link: https://ebtypo.dmz1.zbw/10012888263
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Information jumps, liquidity jumps, and market efficiency
Tseng, Michael; Mahmoodzadeh, Soheil - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-21
We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.
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The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan; Ślepaczuk, Robert - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012816711
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Do traders learn to select efficient market institutions?
Alós-Ferrer, Carlos; Buckenmaier, Johannes; … - In: Experimental economics : a journal of the Economic … 25 (2022) 1, pp. 203-228
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Information diffusion, trading speed and their potential impact on price efficiency : literature review
Martins, Carlos Jorge Lenczewski - In: Borsa Istanbul Review 22 (2022) 1, pp. 122-132
The continuous debate and research related to High Frequency Trading emphasises the importance of performing analysis on topics associated with the interaction of traders with different trading speeds, and the effects of this interaction on price efficiency and market quality. The aim of this...
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Testing stock market efficiency from spillover effect of Panama leaks
Nasir, Adeel; Gherghina, Stefan Cristian; Mata, Mário Nuno - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-23
On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak...
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Deviations from efficient markets and rationality
Bro, Jeppe - 2022 - This version: April 11, 2022
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The wisdom of no crowds: the reaction of betting markets to lockdown soccer games
Hegarty, Tadgh; Whelan, Karl - 2022
The support of home spectators is one of the contributing factors to the home advantage effect in sports matches. The Covid-19 pandemic led to European soccer matches being played without spectators. We show that betting markets adjusted swiftly to account for a reduced home advantage in both...
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Labor market information and predictable returns
Kim, Jae Hyoung - 2022
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A study of market efficiency in emerging markets using improved statistical techniques
Nguyen, James; Parsons, Richard - In: Emerging markets, finance and trade : EMFT 58 (2022) 7, pp. 2004-2016
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Time-varying price-volume relationship and adaptive market efficiency : a survey of the empirical literature
Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 12 (2019) 2/105, pp. 1-18
This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies....
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Stock investment and excess returns : a critical review in the light of the efficient market hypothesis
Qianwei, Ying; Yousaf, Tahir; Ul Ain, Qurat; Akhtar, Yasmeen - In: Journal of risk and financial management : JRFM 12 (2019) 2/97, pp. 1-22
The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the...
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A survey on efficiency and profitable trading opportunities in cryptocurrency markets
Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 12 (2019) 2/67, pp. 1-17
This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range (R/S) and Detrended Fluctuation Analysis (DFA) as well...
Persistent link: https://ebtypo.dmz1.zbw/10012022153
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The effects of relative strength of USD and overnight policy rate on performance of Malaysian stock market : evidence from 1980 through 2015
Abdul Razak Abdul Hadi; Tat Hiung Yap; Zainudin, Zalina - In: Contemporary economics 13 (2019) 2, pp. 175-186
The study is carried out with the objective of testing the efficient market hypothesis (EMH) at the semistrong form level. As such, the study employs two publicly available data variables – the exchange rate (RM/USD) and short-term interest rate as proxied by the overnight policy rate (OPR)....
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Overconfidence bias, self-attribution bias and investor decisions: Moderating role of information acquisition
Taib, Hasniza Mohd - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 15 (2021) 2, pp. 354-377
The purpose of this paper is to empirically test the association of behavioral biases like overconfidence bias and self-attribution bias, and information acquisition with individual investors decisions. This study also extends its contributions in understanding the role of information...
Persistent link: https://ebtypo.dmz1.zbw/10012602054
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Islamic capital market integration and asymmetric information: A study in the five ASEAN countries from the post-global financial crisis
Qizam, Ibnu - In: Business: Theory and Practice 22 (2021) 1, pp. 121-132
This study aims at examining the integration impact of the five ASEAN Islamic capital markets on asymmetric information for ASEAN Economic Community (AEC) development. Utilizing samples of market and financial panel data from 2009 to 2015 among the five ASEAN Islamic capital markets, and...
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Regime-switching determinants of mutual fund performance in South Africa
Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies 9 (2021) 4, pp. 1-20
This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...
Persistent link: https://ebtypo.dmz1.zbw/10013199899
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Efficiency testing of prediction markets: Martingale approach, likelihood ratio and Bayes factor analysis
Richard, Mark; Večeř, Jan - In: Risks 9 (2021) 2, pp. 1-20
This paper studies efficient market hypothesis in prediction markets and the results are illustrated for the in-play football betting market using the quoted odds for the English Premier League. Our analysis is based on the martingale property, where the last quoted probability should be the...
Persistent link: https://ebtypo.dmz1.zbw/10013200700
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The efficiency of the Polish zloty exchange rate market: The uncovered interest parity and fractal analysis approaches
Czech, Katarzyna; Pietrych, Łukasz - In: Risks 9 (2021) 8, pp. 1-17
The study of the effectiveness of the currency market is one of the most important research problems in the field of finance. The paper aims to assess the efficiency of the Polish zloty exchange rate market. We test the market efficiency by applying two independent approaches, one based on the...
Persistent link: https://ebtypo.dmz1.zbw/10013200806
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Machine learning in finance: A metadata-based systematic review of the literature
Warin, Thierry; Stojkov, Aleksandar - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-31
Machine learning in finance has been on the rise in the past decade. The applications of machine learning have become a promising methodological advancement. The paper's central goal is to use a metadata-based systematic literature review to map the current state of neural networks and machine...
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Testing the Overreaction Hypothesis in the Mexican Stock Market
Jiménez, Jaime González Maiz; Ortiz, Edgar - 2021
The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model...
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Fads, Martingales, and Market Efficiency
Lehmann, Bruce N. - 2021
Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial markets. Not surprisingly, considerable effort has been expended to test the efficient markets hypothesis, usually by examination of the predictability of equity returns....
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The Stock Market'S Wild Ride
Mizrach, Bruce; Neely, Christopher J. - 2021
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Trading Inefficiencies in California'S Electricity Markets
Borenstein, Severin; Bushnell, James; Knittel, … - 2021
We study price convergence between the two major markets for wholesale electricity in California from their deregulation in April 1998 through November 2000, nearly the end of trading in one market. We would expect profit-maximizing traders to have eliminated persistent price differences between...
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Efficiency of Thin and Thick Markets
Gan, Li; Li, Qi - 2021
In this paper, we propose a matching model to study the efficiency of thin and thick markets. Our model shows that the probabilities of matches in a thin market are significantly lower than those in a thick market. When applying our results to a job search model, it implies that, if the ratio of...
Persistent link: https://ebtypo.dmz1.zbw/10013218840
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An Examination of Herd Behaviour : Evidence from Colombo Stock Exchange
Abeysekera, S. M; Wijesinghe, D. C.; Weligamage, S. S. - 2021
Traditional Finance theory presumed that equity market participants make decisions based on rational platforms. However, recent market incidents witnessed investors’ decision-making process is fueled with irrational behaviour like herding. Herding behaviour is a dominant behavioural bias that...
Persistent link: https://ebtypo.dmz1.zbw/10013219159
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Behavioral Biases in the NFL Gambling Market : Overreaction to News and the Recency Bias
Durand, Robert B. B.; Patterson, Fernando; Shank, Corey A. - 2021
This paper examines the recency bias and overreaction in the NFL betting market from 2003 to 2017. Consistent with the recency bias, bettors are more likely to bet on teams who have won previous outcomes. We add to the literature and find that the magnitude of prior wins and losses in the...
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Deep Reinforcement Learning for Finance and the Efficient Market Hypothesis
Odermatt, Leander; Beqiraj, Jetmir; Osterrieder, Joerg - 2021
Is there an informational gain by training a Deep Reinforcement Learning agent for automated stock trading using other time series than the one to be traded? In this work, we implement a DRL algorithm in a solid framework within a model-free and actor-critic approach and learn it with 21 global...
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Market fairness and efficiency : Evidence from the Tokyo Stock Exchange
Kemme, David; McInish, Thomas H.; Zhang, Jiang - 2021
In 2015 the Tokyo Stock Exchange (TSE) implemented Arrowhead Renewal improvements (ARI) that reduced latency from about one millisecond to less than 0.5 milliseconds. Simultaneously, the ARI introduced new risk management functions to improve market fairness by reducing manipulative trading...
Persistent link: https://ebtypo.dmz1.zbw/10013214062
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