"efficient market hypothesis," , v.

We deal with the issue of efficient market hypothesis. We examine the proposition that the best predictor for future spot price index is the future price. In addition, we adapt simple econometric model to recent Korean market data by empirical analysis. Our strategy is as follows: first, we test random walk hypothesis by AR estimation and unit-root test. Then, we examine the efficiency of index future market by least squares(distributed–lags), VAR and cointegration estimation. Finally, we conclude the predictability of stock index prices in both spot and future market by overall examination of empirical results.

Efficient-market hypothesis - Wikipedia

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A market is said to be efficient with respect to information if the price ‘fully reflects’ allavailable information regarding securities. Efficient Market Hypothesis (EMH), one of themost eminent and influential of modern financial theories, assumes that all relevantinformation is rapidly incorporated in security prices as released. However researchers andinvestors disagree with EMH both empirically and theoretically. The emergence of BehavioralFinance (study of finance from the perspective of psychology and sociology) by the start of21st century has opened new avenues of research. The focus of discussion shifted from efficientmarket model to the behavioral and psychological aspects of market players. It comprehendedthat unlike traditional economic theory, psychological theory could account for theirrationality and illogicality in behaviors. It is claimed that stock prices are predictable and itis possible to consistently and purposefully outperform a given market using these predictablepatterns. The ‘Stock Market Crash of 1987’, when the DJIA fell by over 20% in a single day,also empirically contradicted EMH.

Supporters of behavioral finance attributed market inefficiency to the combination ofconventional economic and financial theory with behavioral psychological theories andcognitive biases like personal judgment, overconfidence, overreaction, expectations regardingfuture, word-of-mouth optimism/pessimism, ego involvement, self-esteem and self-attributed biases. Calendar effects, predictable patterns of valuation parameters (P/E and B/MV ratios),short-term momentum and tendency of returns to reverse over long run also contradictEMH. EMH was mostly attacked on the grounds of the speed with which information issupposed to reach market players. Critics argued that information cannot be readilyincorporated in security prices as assumed by EMH. Empirical evidences, though, have shownmixed results, not strongly supporting EMH.

Efficient Market Hypothesis -- Fundamental Analysis

Financial Risk Management Journal, Market Hypothesis, Critical, Efficient Market Hypothesis (EMH), Fair Game Model, Submartingale, Random Walk Model, Literature

A weak-form efficient market implies that it ..
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THE EFFICIENT MARKET HYPOTHESIS ON TRIAL - …

This study analyzed the Monday Effect for S and P CNX Nifty and S and P CNX 500 Index Returns. The study used the logarithmic data for sample indices in NSE and applied the Dummy Variable Regression Model. The result of the study found that there was the Highest Mean Return earned on Friday and the Lowest Mean Return earned on Monday for sample indices. The Seasonality Results indicate that there were no significant Days of the Week Effect in the Indian Stock Market during the study period. The study further reveals that Monday recorded the lowest returns it was the best period to buy the scrips (buy low). Friday shows high returns and it is the best period to sell the securities (sell high). The findings challenge the basic premises of the Efficient Market Hypothesis in its weak-form ands this phenomenon could be considered as a superior opportunity for the investors to earn reasonable returns from the market.

New here, about Efficient Market Hypothesis : finance

Observing correctly that the market was frequently efficient, they went on to conclude incorrectly that it was always efficient." Adherents to a stronger form of the EMH argue that the hypothesis does not preclude - indeed it predicts - the existence of unusually successful investors or funds occurring through chance.

The Efficient Market Hypothesis: A Critical Review of …

These investors' strategies are to a large extent based on identifying markets where prices do not accurately reflect the available information, in direct contradiction to the efficient market hypothesis which explicitly implies that such opportunities exist.