Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector

Autor:	Stephan Popp, Huson Joher Ali Ahmed, Seema Narayan, Paresh Kumar Narayan
Rok vydání:	2015
Předmět:	Efficient-market hypothesis Economics and Econometrics Capital market line Financial economics Unit root test Names of the days of the week Economics Trading strategy Unit root Spurious relationship Null hypothesis
Zdroj:	Applied Economics. 47:2359-2378
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036846.2015.1005828
Popis:	In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall, for only 62% of firms, the unit root null hypothesis is rejected on all the five trading days. We also discover that when investors do not account for unit root properties in devising trading strategies, they obtain spurious profits.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8f4345baa6a9e9cd2abf3a4ad51be477 https://doi.org/10.1080/00036846.2015.1005828 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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