Towards a new framework on efficient markets
| Autor: | Tim Verheyden, Lieven De Moor, Filip Van den Bossche |
|---|---|
| Přispěvatelé: | Business |
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
efficient market hypothesis
variance ratio test Capital market line Financial economics Financial market Market system Market microstructure Stalemate Stock market index weak form market effciciency Efficient-market hypothesis adaptive market hypothesis Adaptive market hypothesis Market depth Financial crisis Economics Business Management and Accounting (miscellaneous) Stock market Empirical evidence Financial market efficiency Finance |
| Zdroj: | Vrije Universiteit Brussel |
| Popis: | Academic research on the efficiency of financial markets goes back several decades. Until today, empirical evidence is mixed and academia is torn between two opposing convictions: the efficient market hypothesis (EMH) vs. behavioural finance. The recent Nobel Prize awarded to scholars from both sides of the debate confirms the stalemate. We apply multiple state-of-the- art efficiency tests in rolling windows of one year to leading global stock market indices to test the adaptive markets hypothesis (AMH), a proposed reconciling framework. We find the idea of dynamic and time-variant efficiency to be valid. Also the theoretical pattern of efficiency predicted by the AMH is in line with our results. Furthermore, we find that the effect of the most recent financial crisis on weak form market efficiency is most prominent on the U.S. stock market. The European and Japanese markets appear more consistently efficient over the course of the last 15 years. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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