The market efficiency hypothesis on stock prices: international evidence in the 1920s

1998 ◽  
Vol 8 (1) ◽  
pp. 61-65 ◽  
Author(s):  
Junsoo Lee ◽  
Jen-Chi Cheng ◽  
Chyongchiou J. Lin ◽  
Cliff Huang
Keyword(s):  
Market Efficiency ◽  
Stock Prices ◽  
International Evidence ◽  
Efficiency Hypothesis

scholarly journals THE XBRL TECHNOLOGY AND MARKET EFFICIENCY IN BANKING COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE (IDX)

2020 ◽  
Vol 4 (1) ◽  
pp. 26
Author(s):  
Erni Jayani ◽  
Jumiadi Abdi Winata ◽  
Khairunnisa Harahap
Keyword(s):  
Information Asymmetry ◽  
Market Efficiency ◽  
Financial Reporting ◽  
Stock Prices ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Accurate Information ◽  
Stock Trading

The problem in this research is the need for fast and accurate information in the format of the presentation of financial statements resulting in the distribution of information, and data management can be problematic. Therefore, a format for financial reporting systems, namely Extensible Business Reporting Language (XBRL), was formed. The purpose of this study was to determine the effect of XBRL technology, stock prices, Return on Assets (ROA), and institutional ownership on market efficiency (information asymmetry and stock trading volume). The population and sample of this study are banking companies listed on the Indonesia Stock Exchange from 2015-2016. The sampling method using a purposive sampling method and obtained a sample of 42 companies. Data collection techniques are carried out by taking data from the Indonesia Stock Exchange website (www.idx.co.id) and the site http://finance.yahoo.com. Data were analyzed with multiple regression tests after being declared normal with the normality test and though using SPSS 20. The results of this study simultaneously stated that XBRL technology, stock prices, ROA, and institutional ownership together have an influence on information asymmetry and stock trading volume. From the results of the study, it can be concluded that XBRL technology, stock prices, ROA, and institutional ownership cause a decrease in the level of information asymmetry and trading volume. This result also states that the company is in excellent condition when the value of information asymmetry decreases, but it is not good when the trading volume of its shares also decreases. Keywords: XBRL Technology; Stock Prices; Market Efficiency; Information Asymmetry; Stock Trading Volume. 

scholarly journals The Relationships between Exchange Rates and Stock Prices: Empirical Investigation from Johannesburg Stock Exchange

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Gazi Salah Uddin ◽  
Khan Md. Raziuddin Taufique
Keyword(s):  
Exchange Rate ◽  
Market Efficiency ◽  
Stock Prices ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Rate Sensitivity ◽  
Causality Test ◽  
Johannesburg Stock Exchange ◽  
Long Run ◽  
Adf Test

This study seeks evidence supporting the existence of market efficiency and exchange rate sensitivity on stock prices in the Johannesburg stock exchange (JSE). The sample includes the daily price indices of all securities listed on the JSE, and the exchange rate of the USD/Rand for the period since January 2000 to December 2004. The results from the unit root test, the ADF test and the causality test at the Granger sense provide evidence that the Johannesburg stock exchange (JSE) is informationally efficient. It has a long run comovement with exchange rate, and long run equilibrium or steady state. Hence, in JSE there is a strong possibility that foreign direct investors and forex market traders cannot influence and gain abnormal extra benefits by using exchange rate mechanism or by using exchange rate to forecast stock prices in the market. So, JSE is semi-strong form efficient. Through cointegration test, this paper gives more insight on the concept of market efficiency and the reliability of the results. These results are important to security analysts, investors, and security regulatory exchange bodies in policy making decision to improve the market conditions

Do the Stock Market Indices Follow a Random Walk?

2021 ◽  
pp. 389-410
Author(s):  
Cristina Vasco ◽  
Pedro Pardal ◽  
Rui Teixeira Dias
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
South Korea ◽  
Market Efficiency ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market ◽  
Efficiency Hypothesis

This chapter aims to test the hypothesis of an efficient market, in its weak form, in the stock markets of Brazil, China, South Korea, USA, Spain, Italy, in the period from December 2, 2020 to May 12, 2020. The results show that the market efficiency hypothesis is rejected in all markets. In corroboration the DFA exponents show long memories, which put in question the market efficiency, in its weak form, suggesting that the stock markets analyzed show some predictability. In conclusion, investors should avoid investing in stock markets, at least while this pandemic lasts, and invest in less risky markets in order to mitigate risk and improve the efficiency of their portfolios.

ON THE FUNCTIONAL FORM OF EARNINGS AND STOCK PRICES: INTERNATIONAL EVIDENCE AND IMPLICATIONS FOR THE E/P ANOMALY

1994 ◽  
Vol 21 (3) ◽  
pp. 395-408 ◽  
Author(s):  
G. Geoffrey Booth ◽  
Teppo Martikainen ◽  
Jukka Perttunen ◽  
Paavo Yli-Olli
Keyword(s):  
Stock Prices ◽  
Functional Form ◽  
International Evidence

Semi-strong Form Market Efficiency in Stock Markets with Low Levels of Trading Activity: Evidence from Stock Price Reaction to Major National and International Events

2017 ◽  
Vol 18 (6) ◽  
pp. 1447-1464
Author(s):  
C. Justin Robinson ◽  
Prosper Bangwayo-Skeete
Keyword(s):  
Market Efficiency ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Strong Form ◽  
Trading Activity ◽  
Price Reaction ◽  
Stock Price Reaction ◽  
Low Levels ◽  
International Events

This study uses the event study methodology to explore semi-strong form market efficiency in the context of low levels of trading activity. Covering six frontier stock markets, it investigates stock price reaction to major national news events that include natural disasters, parliamentary elections and credit rating reviews and the international events such as international terrorist incidents, major events surrounding the 2007/2008 sub-prime mortgage crisis and the United Kingdom’s referendum on membership in the European Union (Brexit). The results of the event studies, which feature a correction for low levels of trading activity, show that in sharp contrast with more actively traded markets, stock prices on markets with relatively low levels of trading activity did not react to the vast majority of major news events, and only tended to react to rare events with major consequences. Usually, where stock prices reacted to a news event, the reaction was significantly delayed, which is inconsistent with semi-strong form market efficiency. The implication is that low levels of trading activity may be associated with semi-strong form inefficiency, and stock prices in such markets may not fully reflect all relevant available information, and may be of limited value to a variety of decision-makers.

scholarly journals Reaksi saham perbankan terhadap penurunan BI rate April 2016 dan implikasinya terhadap strategi investasi: pengujian terhadap hipotesis pasar efisien

2018 ◽  
Vol 6 (1) ◽  
pp. 9
Author(s):  
Triyaryati N ◽  
Kusumadewi NMW
Keyword(s):  
Interest Rate ◽  
Market Efficiency ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Banking Sector ◽  
Relevant Information ◽  
Investment Strategy ◽  
Rate Policy ◽  
Efficiency Theory

Stagnation of BI Rate during year 2015 on 7.5% level, causing a profit growth deceleration and stock price compulsion in banking sector. BI rate and BI 7-Day Repo Rate policy announcement on April 21st 2016 is a new relevant information for banking sector in Indonesia. Because both are as an interest rate reference for determining deposit and landing interest rate, which directly related to banking sector profit and expenses. This study verify an abnormal return existence during the announcement, in order to observe the market ability to directly absorb the relevant information and reflected in the stock price of the banking sector. The procedures which run in this study is also to test the market efficiency theory in the semi strong form.This study indicate that during the observation period there is no existence of abnormal return, which is show that the market are directly absorb the new relevant information and reflected it in the stock prices. Thus the market indicate as semi strong efficient.Investor decision making implication refer to this study result is there will not be an optimal return for them if they applied an active investment strategy during this period.So, in this semi strong market efficiency situation, it is better for the investor not to apply the active investment strategy.

scholarly journals Testing financial market efficiency

2014 ◽  
Vol 3 (3) ◽  
pp. 351-372
Author(s):  
Islem Ahmed Boutabba
Keyword(s):  
Random Walk ◽  
Financial Markets ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Central Hypothesis ◽  
Excess Volatility ◽  
Fama And French ◽  
Efficiency Hypothesis

Since the birth of the financial literature until the 1970s, the efficient market hypothesis has been regarded as a central hypothesis. In the mid-1970s, there were theoretical and empirical evidence stating that the EMH seems untouchable. However, recently there has been an emergence of arguments doubting the EMH. The EMH implicitly indicates that stock prices can follow a random walk. Currently, financial theory has shown that stock prices do not follow a random walk.In this regard, our empirical study rejected the hypothesis of a random walk for 27 indices out of 28 studied. We confirm that the studied indices time series do not follow a random walk, and therefore we reject the financial markets efficiency hypothesis in its weak form. This result corroborates those of Fama and French (1992.993), DeBondt and Thaler (1985), Lo and MacKinlay (1991), Jagadeesh and Titman (1993) and Shleifer and Vishny (1997). Therefore, financial markets efficiency hypothesis in its weak form is also rejected. This result is logical given the limited capacity of the classical theory in explaining abnormal returns such as bubbles, crashes and excess volatility

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