Evidence for and Against the Validity of Efficient Market Hypothesis

Leković, Мiljan

doi:10.2478/ethemes-2018-0022

Cited by 12 publications

(9 citation statements)

References 61 publications

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“…This means that share prices contain company reports and public information about the firm. Strongform efficiency markets have stock prices that rapidly adjust to any information, including inside information (Lekovic, 2018). Therefore, no investor can earn excess returns using any information.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis

Enow¹

2021

EJEF

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Covid-19 has had severe consequences on the financial systems of many countries and has altered the manner in which most businesses operate. This adverse situation has a spill-over effect on financial markets where the market efficiency may have been altered, hence using preCovid-19 strategies for investment purposes may no longer be applicable. Market efficiency, which is closely linked to informational efficiency, depicts the extent to which financial markets adjust quickly and correctly to new information. It is instrumental for fundamental analysis. The aim of this study is to analyze the market efficiency during the pandemic in five major financial markets around the world. Using the runs tests, the results indicate that the market efficiency in the JSE and JPX-Nikkei 400 has been altered significantly, while the Nasdaq Index, DAX, and CAC 40 have not changed from what it used to be. This was evident in the significant difference between the expected number of runs and the total number of runs, as indicated by the runs test. The implication of this study is that investment professionals in the JSE and JPX-Nikkei 400 should alter their investment strategies, without which they may incur severe losses.

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Section: Literature Reviewmentioning

confidence: 99%

The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis

Enow¹

2021

EJEF

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“…In other words, investors cannot use public information to obtain above-normal profit levels. Third, market efficiency is a strong form, a situation where prices not only reflect all published information but also the information contained in the fundamental analysis of companies and the economy (Leković, 2018).…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

“…Investment Management and Financial Innovations, Volume 20, Issue 1, 2023 http://dx.doi.org/10.21511/imfi.20 (1).2023. 19 All events can affect economic conditions (Febriandika & Rahayu, 2021). Likewise, the volatility of rising oil prices certainly made the market more out of control.…”

Section: Introductionmentioning

confidence: 99%

Russia’s invasion of Ukraine: The reaction of Islamic stocks in the energy sector of Indonesia

Febriandika

Wati

Hasanah³

2023

Investment Management and Financial Innovations

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The volatility of rising oil prices has certainly made the market more out of control. Market participants are very sensitive to various information and to global issues such as Russia’s invasion of Ukraine. This study aims to review the reaction of the Indonesian Islamic stock market in the energy sector before and after Russia’s invasion of Ukraine. The variables used are stock returns, abnormal returns, and trading volume activity. The sample of this study is represented by Indonesian sharia stocks in the energy sector using a purposive sampling method. The research period was from February 4, 2022 to March 18, 2022. The research method used was the Event Study Method (ESM) and paired sample different tests with the Microsoft Excel program and SPSS version 26. The results of the study show that there is a significant difference in the average stock returns in the periods of 3, 7, and 14 days before and after Russia’s invasion of Ukraine. There are also differences in abnormal returns for the 3-day and 14-day observation periods, while for the 7-day observation period, there are no significant differences in abnormal returns. Besides, there is an average difference in volume activity during the periods of 3 days, 7 days, and 14 days before and after the Russian invasion of Ukraine. Indirectly, this information about Russia’s invasion of Ukraine affected the performance of the capital market. This also shows that the semi-strong form of the efficient market hypothesis is proven in this study.

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“…EMH has been a controversial theory and has generated serious debate in the investment finance literature. Over the years of research, epistles in the financial literature have not come to a consensus on the absence or presence of the validity of EMH hypothesis [12]. In testing EMH in the weak form, several studies result have shown random walk in stock markets outside the Nigerian stock exchange; including the work of [13,14,15,16].…”

Section: Introductionmentioning

confidence: 99%

A New Look at Weekdays Effect of Stock Prices in the Weak Form: Evidence from Nigerian Stock Exchange

Peter

Johnny

2020

AJEBA

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Efficiency intensity of stock exchange market has policy implications in any economy. The focus of this work is to assess the intensity of efficiency in the weak form of the Nigerian stock exchange market. This study stands to examine predictability level of Monday trading, Tuesday trading, Wednesday trading, Thursday trading and Friday trading in the Nigerian Stock Exchange (NSE). Monday NSE all share index covered August 6, 2018 to October 28, 2019; Tuesday NSE all share index covered August 7, 2018 to October 29, 2019; Wednesday NSE all share index covered August 8, 2018 to October 30, 2019; Thursday NSE all share index covered August 9, 2018 to October 31, 2019; Friday NSE all share index covered August 10, 2018 to November 1, 2019. The data was analyzed employing Jarque-Bera check for normality, ADF unit root test, graphs and GARCH term. The Jarque-Bera examination for normality indicates that all the data are normally spread. The ADF unit root shows that the factors employed were not stationary @ level series but stationary @ 1st difference. The GARCH term shows that all the variables were not significant at 5% level. From the above findings, stock prices on Mondays, Tuesdays, Wednesdays, Thursdays and Fridays stock prices studied exhibited significant random walk, the investigation therefore concludes that, NSE market is efficient in the weak form. It is thus recommended that Government should continue to allow the invisible hands to determine the direction of stock prices in order to boast NSE trading activities.

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Evidence for and Against the Validity of Efficient Market Hypothesis

Cited by 12 publications

References 61 publications

The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis

The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis

Russia’s invasion of Ukraine: The reaction of Islamic stocks in the energy sector of Indonesia

A New Look at Weekdays Effect of Stock Prices in the Weak Form: Evidence from Nigerian Stock Exchange

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