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.

scholarly journals A Research on Volatility in the Indian Stock Market with Special Reference to Nifty and Selected Companies Offinancial Service Sector of NSE of

2019 ◽  
Vol 8 (12S) ◽  
pp. 541-544
Keyword(s):  
Stock Market ◽  
Service Sector ◽  
Weak Form ◽  
Financial Service ◽  
Share Price ◽  
Future Market ◽  
Service Companies ◽  
Price Movements ◽  
Run Test ◽  
Indian Stock Market

In recent years the increasing importance of the future market in the Indian markets has received considerable attention from researchers,academicians and financial analysis.the present study is undertaken with an attempt to determine the share price movements and its volatility of the selected ten companies of financial service sector,which is in nifty fifty companies list.The period of the study selected between January 2009 and December 2017.for examining the share price movements and its volatility,the researcher took descriptive statistics and for finding the volatility ,kolmogorovsmirnovtest,from the results,among the selected ten financial service companies are not homogenous during the study period, and also examine the run test in Indian stock market is weak form efficient, the non-random behavior of the market has only short termimplications.Finally should take necessary steps to maintain its financial health and increase the market share in India.

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.

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals Pengujian Efisiensi Dan Peningkatan Efisiensi Bentuk Lemah Bursa Efek Indonesia Pada Saat Dan Sesudah Krisis Moneter Pada Saham-Saham LQ-45

2008 ◽  
Vol 1 (3) ◽  
Author(s):  
Ibnu Khajar
Keyword(s):  
Capital Market ◽  
Weak Form ◽  
Efficient Markets ◽  
Related Information ◽  
Security Price ◽  
Random Walk Theory ◽  
Price Movements ◽  
Current Price ◽  
Over Time ◽  
Weak Form Efficiency

Efficient markets can be classified into three forms: weak, semi-strong, and strong. Weak-form efficiency suggests that security prices reflect all trade-related information, such as historical security price movements and volume of securities trades, so they don’t relate with current price and volume. In other words, historical price movements independent or random over time. Thus, test of weak-form efficiency is ralated with random walk theory. This research has two objectives. The first objective is to analyze whether Indonesian capital market has been efficient (weak-form). The second one is to analyze increasing efficient market in two different periode. The study was carried out on the 10 stock in the LQ-45 index, based on crisis and after crisis during 1998 and 2006 period. The first objective was analyzed by using run and autocorrelation test. The result shows that most stock are random in two different period. The second one was analyzed by searching number stocks that is random in crisis and after crisis period. The result shows there is not increasing weak-form efficiency

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.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

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