Weak-Form Market Efficiency: Evidence from the Brazilian Stock Market

Chen, Chien-Ping; Metghalchi, Massoud

doi:10.5539/ijef.v4n7p22

Cited by 16 publications

(11 citation statements)

References 19 publications

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“…Recent studies have also resulted in contradictory findings about the relative strength rule. For example, Wong et al (2003), in the case of Singapore's capital market, show that the relative strength rule yields above-average returns, while Chen and Metghalchi (2012), in the case of the capital market of Brazil, prove that the rule described fails to "beat" the passive strategy.…”

Section: Weak-form Market Efficiency Testsmentioning

confidence: 99%

Evidence for and Against the Validity of Efficient Market Hypothesis

Leković

2018

Economic Themes

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The concept of an efficient financial market, in literature known as efficient market hypothesis (EMH), has had a long and difficult development path from the idea itself to its final conception, as one of the central paradigms in modern finance. It has been tested and critically reviewed for decades, and the two basic types of problems it has encountered are theoretical paradoxes and market anomalies. The aim of the paper is to examine the validity of EMH through various financial market efficiency tests and the results of previous research. The intention is to answer the question of whether, despite theoretical paradoxes and market anomalies, the notion of validity can be attributed to the concept of an efficient financial market. In this regard, the paper presents plenty of evidence for and against the validity of weak, semi-strong, and strong form of EMH, to conclude that, even after more than half a century of research, financial literature has not reached a consensus on the presence or absence of the validity of this hypothesis.

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Section: Weak-form Market Efficiency Testsmentioning

confidence: 99%

Evidence for and Against the Validity of Efficient Market Hypothesis

Leković

2018

Economic Themes

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“…Traditionally, linear dynamics methods were used to assess the dynamics of stock markets [1][2][3], these methods are actively being used now [4][5][6][7][8][9][10]. However, in the 1990s, the nonlinear paradigm, which is represented by the hypothesis of the fractal market, began to develop actively [11,12].…”

Section: Introductionmentioning

confidence: 99%

Diagnostics of a persistence property for quotations dynamics on high-tech stock markets

Maksyshko

Vasylieva

2019

SHS Web Conf.

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The research purpose is diagnosis of the persistence property for the stock quotes time series of leading companies belonging to the high-tech sector: Apple Inc., Microsoft Corporation and Samsung Electronics Co. The persistence property or the trend-stability of the time series is crucial meaning for the investor. As a result of the application of the R\S-analysis, it is proved that the stock quotations dynamics of these companies have the persistence property. Also, the method of sequential R\S analysis is applied: the leading characteristics of the long-term memory are discovered, which makes it possible to carry out a comparative analysis of their predictability. It is found that the time series of profitability do not have the properties of persistence. However, the tests for diagnostic of a deterministic chaos reveal the appearance of the persistence property in the time series of “delayed” profitability. The obtained results allows to state the fractal nature for the time series of quotations, while the characteristics of the persistence (depth of memory) determined by the research can be useful to the investor in terms of the investment instrument choice and the investment horizon as well as can be used in selecting the parameters for a forecasting model.

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“…Se existe uma influência da emissão de dividendos sobre os retornos acionários, esperamos que esse efeito seja intensificado em um mercado emergente, visto que as ineficiências são maiores quando comparadas com mercados desenvolvidos. No caso do Brasil, as evidências apontam eficiência na forma fraca (Chen e Metghalchi, 2012, Mobarek e Fiorante, 2014, principalmente após a estabilização de preços em 1994 (Ely, 2011). Porém, esta forma de eficiênciaé caracterizada por incorporar no conjunto informacional apenas os preços históricos, e não informações públicas ou privadas como anúncios de dividendos, sendo essa ineficiência no mercado brasileiro também encontrada por Gutller et al (2008).…”

Section: Introductionunclassified

Evidências do Prêmio do Mês do Dividendo no Mercado Acionário Brasileiro

Pereira

Ely

Shikida³

2019

Braz. Rev. Fin.

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We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate asset pricing multifactor models to check for the existence of returns not associated with risks. We present evidences of a positive monthly premium of about 1%, but results are less robust when we exclude low liquidity assets from the sample. Also, the effect is larger for small caps and assets with higher dividend yields.

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Weak-Form Market Efficiency: Evidence from the Brazilian Stock Market

Cited by 16 publications

References 19 publications

Evidence for and Against the Validity of Efficient Market Hypothesis

Evidence for and Against the Validity of Efficient Market Hypothesis

Diagnostics of a persistence property for quotations dynamics on high-tech stock markets

Evidências do Prêmio do Mês do Dividendo no Mercado Acionário Brasileiro

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