Search Results - subject_exact:"Market efficiency"

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638920

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374212

Rewiring repo

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271468

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339637

Efficiency in the early stages of carbon markets : the case of the Korean emissions trading scheme

Yoon, Beomseok; Karali, Berna - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190052

Price discovery and efficiency in uniswap liquidity pools

Alexander, Carol; Chen, Xi; Deng, Jun; Fu, Qi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464875

Trading games : beating passive strategies in the bullish crypto market

Palazzi, Rafael Baptista - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464916

Betting on momentum in contests

Ötting, Marius; Deutscher, Christian; Singleton, Carl; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472502

Predicting market reactions to news : an llm-based approach using spanish business articles

Villota, Jesús - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410323

Multifractal analysis of Bitcoin price dynamics

Bucur, Cristian; Tudorică, Bogdan-George; Bâra, Adela; … - 2025

This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019-2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413228

Factor investing with delays

Dickerson, Alexander; Nozawa, Yoshio; Robotti, Cesare - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432765

Dynamic financial valuation of football players : a machine learning approach across career stages

Khalife, Danielle; Yammine, Jad; Chbat, Elias; Zaki, … - 2025

The financial valuation of professional football players is influenced by multiple factors that evolve throughout a player's career. This study examines these determinants using Gradient Boosting Machine Learning models, segmented by three age categories and three playing positions to capture...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015433940

Neuroscience and market dynamics : the impact of smoking withdrawal syndrome on the stock performance of tobacco companies

Vasileiou, Evangelos; Floros, Christos; Gillas, … - 2025

This study investigates the effect of the annual "No-Smoking Day" on the stock performance of British American Tobacco (BATS) and Imperial Brands (IMB) from 1997 to 2023. Our findings reveal a significant negative impact of No-Smoking Wednesdays on BATS, with a moderate but statistically...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441795

Information flow and market efficiency : the economic impact of precise language

Barth, Andreas; Mansouri, Sasan; Wöbbeking, Carl Fabian - 2025

This paper examines the impact of complex yet precise language, particularly financial jargon, on information dissemination and ultimately market efficiency. As a natural laboratory, we analyze the information exchanged during earnings conference calls, where we instrument jargon with the Plain...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443474

Estimating corporate bond market volatility using asymmetric garch models

Hadad, Elroi; Fridman, Amit Malka; Yosef, Rami - 2025

This study investigates the volatility of the Israeli corporate bond market, where corporate bonds are traded on a Limit Order Book (LOB) exchange with high retail trading activity. Using data from the Tel-Bond 20 and Tel-Bond 60 indices, we estimate various asymmetric GARCH models to capture...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015555984

Strategic complexity and behavioral distortion : retail investing under large language model augmentation

Gimmelberg, Dmitrii; Ludviga, Iveta - 2025

This conceptual article introduces Perceived Cognitive Assistance (PCA)-a novel psychological construct capturing how interactive support from Large Language Models (LLMs) alters investors' perception of their cognitive capacity to execute complex trading strategies. PCA formalizes a behavioral...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015585249

Political uncertainty and cryptocurrency futures and spot market efficiency : evidence from the 2024 U.S. presidential election

Lee, Geesun - 2025

This study investigates the impact of the 2024 U.S. presidential election on the relationship between cryptocurrency futures and spot markets. Using a range of financial econometric techniques, we analyze daily returns of Bitcoin futures and spot markets from December 2017, to January 2025. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625307

The effect of macroeconomic announcements on U.S. treasury markets : an autometric general-to-specific analysis of the greenspan era

Forest, James J. - 2025

This research studies the impact of macroeconomic announcement surprises on daily U.S. Treasury excess returns during the heart of Alan Greenspan's tenure as Federal Reserve Chair, addressing the possible limitations of standard static regression (SSR) models, which may suffer from omitted...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015475569

The impact of cryptocurrency heists on Bitcoin's market efficiency

Li, Mingnan; Manahov, Viktor; Ashton, John K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015482551

The price of processing : information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396109

Measuring the time-varying market efficiency in the prewar and wartime Japanese stock market, 1924-1943

Hirayama, Kenichi; Noda, Akihiko - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397061

Does market microstructure affect time-varying efficiency? : evidence from emerging markets

Said, Bahrawar; Raza, Muhammad Wajid; Elshahat, Ahmed - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055292

Revealing information &- or not &- in a social network of traders

Allmis, Patrick; Pin, Paolo; Vega-Redondo, Fernando - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014566872

The ChatGPT effect on AI-themed cryptocurrencies

Ante, Lennart; Demir, Ender - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014575748

Data specialists and market efficiency

Massa, Massimo; Zhang, Hong; Zhou, Yijun - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014548399

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Data specialists and market efficiency

Massa, Massimo; Zhang, Hong; Zhou, Yijun - 2024

Book / Working Paper

When the league table lies : does outcome bias lead to informationally inefficient markets?

Flepp, Raphael; Merz, Oliver; Franck, Egon - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014483755

The rapid growth of cryptocurrencies : how profitable is trading in digital money?

Manahov, Viktor - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533405

Exclusive portfolio dealing and market inefficiency

Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014468787

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Exclusive portfolio dealing and market inefficiency

Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024

Book / Working Paper

Do bank stock prices efficiently reflect the information content in a key tax reform event?

Ahmad, Ahmad; Rumman, Ghaleb Abu; Idris, Mohammed; … - 2024

This study examines the behavior of bank stock prices in Jordan in relation to a significant tax reform event. We analyze a sample of all banks listed on the Amman Stock Exchange to study the market response to the Amended Income Tax Law 2018. In the proposal period, investors were anticipating...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015211225

The myth of business cycle sector rotation

Molchanov, Alexander; Stangl, Jeffrey - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337801

Strategic borrowing from passive investors

Palia, Darius; Sokolinski, Stanislav - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357592

Separating insider and informed behavior : evidence from a natural setting

Hegarty, Tadgh - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015173358

Event-study approach : the case of Airbnb and hotel stocks

Tavor, Tchai; Teitler-Regev, Sharon - 2024

This study investigates the impact of Airbnb announcements on hotel stock prices across ten countries, distinguishing between exact- and general-location announcements. We found that while general announcements have minimal impact, those with exact locations consistently reduce hotel stock...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195579

Persistence in high frequency financial data : the case of the EuroStoxx 50 futures prices

Caporale, Guglielmo Maria; Plastun, Alex - 2024

Differences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394356

Comparing two methods for testing the efficiency of sports betting markets

Hegarty, Tadgh; Whelan, Karl - 2024

Sports betting markets can be considered strongly efficient if expected returns on all possible bets on an event are equal. If this form of efficiency holds, then there is a direct mapping from betting odds into probabilities of outcomes of sporting events. We compare two regression-based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014476710

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Comparing two methods for testing the efficiency of sports betting markets

Hegarty, Tadgh; Whelan, Karl - 2024

Book / Working Paper

Are betting markets inefficient? : evidence from simulations and real data

Winkelmann, David; Ötting, Marius; Deutscher, Christian; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014581137

The influence of foreign investors on the efficiency of the Saudi Stock Market

Alesmaiel, Abdullah; Fifield, S. G. M.; Hof, Justin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399655

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://www.econbiz.de, 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

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628708

Feedback effects, market valuations, and real efficiency

Park, Junghum - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641953

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643213

The fallacy of concentration

Kritzman, Mark; Turkington, David - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647175

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The fallacy of concentration

Kritzman, Mark; Turkington, David - 2025

Book / Working Paper

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015670042

American manufacturing and the architecture of capital : why capital markets disadvantage production and what it means for American industrial renewal

Samel, Hiram; Chaudhry, Aditya - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668141

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666807

Commodity financialization and electronification: evidence from high-frequency data

Lauter, Tobias; Prokopczuk, Marcel; Trück, Stefan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015672539

Market efficiency when machines access information

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015675307