On the validity of the weak–form efficient markets hypothesis applied to the London stock exchange: comment

2000 ◽  
Vol 7 (7) ◽  
pp. 419-421 ◽  
Author(s):  
Alexandros E. Milionis ◽  
Demetrios Moschos
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Markets ◽  
London Stock Exchange ◽  
Efficient Markets Hypothesis

scholarly journals An Investigation of the Weak Form of the Efficient Markets Hypothesis for the Kuwait Stock Exchange

2018 ◽  
Vol 17 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Hesham I. Almujamed ◽  
Suzanne G. M. Fifield ◽  
David M. Power
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Efficient Markets ◽  
Efficient Market ◽  
Emerging Stock Markets ◽  
Kuwait Stock Exchange ◽  
Efficient Markets Hypothesis ◽  
Filter Rules

This article investigates the weak form of the efficient market hypothesis (EMH) for the Kuwait Stock Exchange (KSE). In particular, it tests whether share returns on the KSE exhibit patterns which may be used to predict future share price changes. Ten filter rules are tested on weekly data for 42 firms over the period 1998–2011. The results suggest that the KSE was not weak-form efficient because patterns and trends were present in security prices. In addition, the results are consistent with the substantive literature which has argued that emerging stock markets are informationally inefficient, such as Fifield, Power and Sinclair (2005, 2008) and Xu (2010) and particularly those early studies of Al-Shamali (1989) and Al-Loughani and Moosa (1999) that looked at trading rules for the KSE.

ANOMALI PASAR PADA RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA: FENOMENA THE DAY OF WEEK EFFECT, WEEK FOUR EFFECT, ROGALSKY EFFECT, DAN JANUARY EFFECT

2016 ◽  
Vol 12 (1) ◽  
pp. 51
Author(s):  
Reza Widhar Pahlevi
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Efficient Markets ◽  
Efficient Market ◽  
Market Anomalies ◽  
Day Of The Week

Market anomalies appears on all forms of efficient markets, both weak form, semi-strong and strongform. But plenty of evidence to link the anomaly with semi-strong form efficient market exploited togenerate abnormal returns. Market anomalies that is often discussed is the Day of the Week Effect,January Effect, Week Four Effect and other market anomalies. Empirical research is intended todetermine whether there is the phenomenon of the day of the week effect, week four effect, the effectrogalsky and January effect on LQ 45 stocks in the Indonesia Stock Exchange year period 2014-2015.Based on the analysis of data, shows that there is the phenomenon of the day of week effect on thecompany LQ-45 in Indonesia Stock Exchange 2014-2015 period, there is the phenomenon of weekfour effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period, there are phenomenonRogalski Effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period and there is no Januaryeffect phenomenon in the LQ-45 in Indonesia Stock Exchange 2014-2015 period.Keywords: the day of the week effect, week four effect, rogalsky effect and january effect

Weak Form of Efficient Markets Hypothesis: A Spectral Analytic Investigation

1993 ◽  
Vol 18 (2) ◽  
pp. 25-30
Author(s):  
M Ranganatham ◽  
V Subramanian
Keyword(s):  
Spectral Analysis ◽  
Weak Form ◽  
Share Price ◽  
Efficient Markets ◽  
Price Series ◽  
Efficient Markets Hypothesis ◽  
Price Movements ◽  
Indian Stock Market ◽  
Frequency Domain Approach ◽  
Larger Sample

Spectral analysis is a powerful tool in detecting hidden patterns and cycles in a time series. This paper by Ranganatham and Subramanian is an attempt to test empirically the weak form of Efficient Markets Hypothesis (EMH) using the frequency domain approach of spectral analysis. The results of the analysis show that there are some periodic cycles in the price movements which run counter to the assertion of weak form of EMH. For a better understanding of the structure of price movements in the Indian stock market, this study calls for the use of this technique on a larger sample of individual share price series.

The Rise (and Retreat) of a Market: English Joint Stock Shares in the Eighteenth Century

1981 ◽  
Vol 41 (3) ◽  
pp. 559-577 ◽  
Author(s):  
Philip Mirowski
Keyword(s):  
Resource Allocation ◽  
Eighteenth Century ◽  
Economic History ◽  
Stock Exchange ◽  
Historical Context ◽  
Efficient Markets ◽  
Share Prices ◽  
Government Interference ◽  
Efficient Markets Hypothesis ◽  
Unambiguous Conclusion

The market for joint stock shares in eighteenth-century England is often portrayed as an underdeveloped and flawed mechanism for resource allocation, which in turn is cited to explain the paucity of shares actually traded. This article questions that interpretation, both by inquiring whether the requisite institutions for a functional market were present, and by constructing a new time series of eighteenth-century share prices and exposing them to a test of the efficient markets hypothesis. Because the stock exchange is found to exhibit most of the conventionally defined characteristics of an effective market, the article concludes by outlining the case for skepticism with respect to a common theme in economic history: the idea that the purported superiority of market resource allocation over alternative non-market forms (in the absence of rigidities due to underdevelopment or government interference) is an unambiguous conclusion in every historical context.

scholarly journals The horse racing industry and the efficient markets hypothesis

1987 ◽  
Vol 18 (1) ◽  
pp. 35-40
Author(s):  
J. F. Affleck-Graves ◽  
A. H. Money ◽  
K. Miedema
Keyword(s):  
South Africa ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Efficient Markets ◽  
Horse Racing ◽  
Inside Information ◽  
Small Deviations ◽  
Investment Returns ◽  
Efficient Markets Hypothesis ◽  
Better Than

Betting on the racetrack and investing in the stockmarket have many characteristics in common. These similarities are discussed in this paper and the applicability of efficient markets theory to the market for horse racing bets in South Africa is examined. Both the weak form and the strong form of the efficient market hypothesis are empirically tested. The results indicate support for both forms although some small deviations from the theory do exist. Most notable of these is that on average long-odds horses win less frequently than suggested by their quoted odds whilst short-odds horses win more frequently than implied by their odds. However, these weak form deviations are not sufficient to enable consistent profits to be made. The performances of ten experts with potential access to inside information are examined and the results indicate that on average they are not able to earn superior investment returns. In fact, all ten had negative returns over the period examined and only three of them did better than the naive strategy of backing the favourite.

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