A Test of the Weak–form of the Efficient Markets Hypothesis for the Saudi Stock Market

2007 ◽  
Vol 6 (2) ◽  
pp. 167-190 ◽  
Author(s):  
K.A. Al–Abdulqader ◽  
G. Hannah ◽  
D.M. Power
Keyword(s):  
Stock Market ◽  
Weak Form ◽  
Efficient Markets ◽  
Efficient Markets Hypothesis

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 Valuation Ratios As Stock Market Predictors

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Hassan Shirvani ◽  
Barry Wilbratte
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Efficient Markets ◽  
Dividend Yield ◽  
Font Size ◽  
Future Earnings ◽  
Causality Tests ◽  
Efficient Markets Hypothesis ◽  
Valuation Ratios

<p class="MsoBlockText" style="margin: 0in 0.5in 0pt;"><span style="font-style: normal;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Using bivariate causality tests, this paper examines price-earnings (PE) and dividend yield (DY) ratios and finds that they do not predict future stock returns but that they do predict future earnings and dividends, lending support to the efficient markets hypothesis.<span style="mso-spacerun: yes;">&nbsp; </span>(JEL: G12, G14)</span></span></span></p>

Scoring at Halftime

2014 ◽  
Author(s):  
Ignacio Palacios-Huerta
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Efficient Markets ◽  
Efficient Markets Hypothesis ◽  
Influential Theory

This chapter is concerned with the idea of scoring at halftime but with a more scientific perspective. It suggests that what happens at halftime in some soccer games scores big in terms of allowing us to test an influential theory in economics: the efficient-markets hypothesis. The theory posits that the stock market processes information so completely and quickly that any relevant news would be incorporated fully into the stock's price before anyone had the chance to act on it. Simply put, unless one knew information that others did not know, no stock should be a better buy than any other. If the theory is correct—that is, if observed changes in stock prices are unpredictable—there is not much we can do to gain an advantage over other traders, except perhaps to try to identify the news that causes stock prices to rise and fall and to understand the size of any likely price jump.

scholarly journals Efficient Markets Hypothesis in the time of COVID-19.

2021 ◽  
Vol 13 (1) ◽  
pp. 45-63
Author(s):  
Evangelos Vasileiou
Keyword(s):  
Stock Market ◽  
Efficient Markets ◽  
Rational Behavior ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
The Us ◽  
The World ◽  
Efficient Markets Hypothesis ◽  
Available Information ◽  
Constant Growth

This paper examines how the largest stock market of the world, the U.S., and particularly the S&P500 index, reacted during the COVID-19 outbreak (02.01.2020-30.04.2020). Using simple financial and corporate analysis (adopting Constant Growth Model) procedures for our theoretical framework, we juxtapose the released news with the respective market performance in order to examine if the stock market always incorporated the available information in time. We show that the market in some sub-periods was not moving as it was expected, and the runs-test statistically confirmed our assumptions that the US stock market was not efficient during the COVID-19 outbreak. We find that in some cases the market does not incorporate the news instantly, is irrational, and non-sensible. All these make the market’s behavior unpredictable for a rational asset pricing model because as this paper shows even the simplest financial theories could explain rational behavior, but the market presented a different performance.   

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 The Impact Of Weekly Money Supply Announcements ON Stock Market Returns: A Multiprocess Mixture Model Approach

2011 ◽  
Vol 9 (3) ◽  
pp. 100
Author(s):  
James P. LeSage ◽  
Andrew Solocha
Keyword(s):  
Stock Market ◽  
Money Supply ◽  
Mixture Model ◽  
The United States ◽  
Multiple Models ◽  
Efficient Markets ◽  
Market Returns ◽  
Stock Market Returns ◽  
Efficient Markets Hypothesis ◽  
The Impact

This study provides evidence concerning the impact of anticipated and unanticipated components of the weekly money supply announcements on stock market returns in the United States and Canada on the date after the announcement. The innovative aspect of this study is the use of a multiprocess mixture model recently proposed by Gordon and Smith (1990) for modeling time series that are subject to several forms of potential discontinuous change and outliers. The technique involves running multiple models in parallel with recursive Bayesian updating procedures which extend the standard Kalman filter. The results provide strong evidence in favor of the efficient markets hypothesis that only the unanticipated component of the money supply announcement influences the stock market returns in both the United States and Canada.The use of OLS estimated in the present study produces results which suggest that both anticipated and unanticipated components of the money supply announcement exert a statistically significant influence on stock market returns in both countries. In contract, the multiprocess mixture model estimation method produces results which support the efficient markets hypothesis. The difference in findings between OLS and multiprocess estimation methods is attributed to the ability of the multiprocess techniques to model discontinuous structural shifts in the parameters and accommodate outliers in the stock return-weekly money relationship. The multiprocess mixture method provides evidence that numerous discontinuities and outliers exist in the stock market returns-weekly money relation and produces posterior probabilities for the multiple models running in parallel. These probabilities suggest that the OLS model has low posterior probability relative to the structural shift and outlier models which suggest poor inferences regarding the significance of anticipated and unanticipated money arise from the use of OLS estimation techniques.

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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