Market Efficiency and News Dynamics: Evidence from International Equity Markets

Autor:	Thomas C. Chiang
Jazyk:	angličtina
Rok vydání:	2019
Předmět:	efficient market economic policy uncertainty random walk news Asian market G7 market Economics as a science HB71-74
Zdroj:	Economies, Vol 7, Iss 1, p 7 (2019)
Druh dokumentu:	article
ISSN:	2227-7099
DOI:	10.3390/economies7010007
Popis:	This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence of market volatility correlations. The null for testing the absence of correlations between stock returns and lagged news measured by lagged economic policy uncertainty (EPU) is rejected for all markets under investigation. The evidence indicates that a change of lagged EPUs positively predicts conditional variance.
Databáze:	Directory of Open Access Journals
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