“Mimickers” Of Corporate Insiders And Testing For Market Efficiency: The Case Of Greece 

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Anna Merikas ◽  
Andreas Merikas ◽  
George S. Vozikis
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Strong Form ◽  
Corporate Insiders ◽  
Of Greece

Most prior research shows that corporate insiders can systematically earn abnormal returns by trading their own securities, but the majority of studies suggest that outsiders cannot earn abnormal returns by “mimicking” the trades of insiders after the latter report their trades. Our study is the first to investigate the case of “mimicking” in the Greek stock exchange, and the findings indicate that indeed, outsiders cannot earn significant abnormal returns by mimicking insiders’ trades, a result that is consistent with the concept of a semi-strong form of market efficiency.

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

scholarly journals The relationship between changes in money supply and changes in share prices: The semi-strong form efficiency of the Johannesburg Stock Exchange revisited

1995 ◽  
Vol 26 (1) ◽  
pp. 19-27 ◽  
Author(s):  
R. D. Glass ◽  
E. V.D.M. Smit
Keyword(s):  
Market Efficiency ◽  
Money Supply ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Share Prices ◽  
Johannesburg Stock Exchange ◽  
Ex Post ◽  
Rigorous Test ◽  
The Relationship

In this article the semi-strong form of share market efficiency over the period 1978 to 1992 is considered, particularly with regard to information about changes in the money supply. To ensure a rigorous test of market efficiency, monetary growth has been decomposed, into anticipated and unanticipated elements. The All Share Index of the Johannesburg Stock Exchange is regressed against the monetary variables. The test results indicate that lagged changes in anticipated monetary growth are significant in explaining changes in share prices, a finding contrary to the efficient market hypothesis. However, the low coefficients of determination indicate that only a small percentage of the variation in share prices is explained by ex post changes in money supply and consequently the potential for a trading rule to earn superior returns to the market is limited.

scholarly journals EFISIENSI PASAR SAHAM SYARIAH DI INDONESIA BERDASARKAN PENGUMUMAN PERUBAHAN KOMPOSISI SAHAMDI JAKARTA ISLAMIC INDEX (JII)

2015 ◽  
Vol 2 (1) ◽  
pp. 95
Author(s):  
Mas Nur Mukmin ◽  
Hermi Hermi
Keyword(s):  
Market Efficiency ◽  
Information Content ◽  
Event Study ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Strong Form ◽  
Research Use ◽  
Composition Change ◽  
Efficient Market ◽  
Event Study Method

<p><em>This research is aim to figure out the information content and market efficiency of syariah stock exchange in Indonesia based on the announcement of the change of stock composition in Jakarta Islamic Index (JII). This research is addressed to the included and excluded stocks. This research use event study method. The window event last for seven days (t-3 to t+3).The result support signalling theory. There’s no abnormal return around the window event for the included stocks. Negative abnormal return exist for the excluded stocks. The result also showed that JII is an efficient market in a semi-strong form based on the announcement of the JII stock composition change.</em></p>

scholarly journals Evaluating Post Merger Pakistan Stock Exchanges’ Market Efficiency

2021 ◽  
Vol 3 (2) ◽  
pp. 127-137
Author(s):  
MUHAMMAD AMIN KHAN ◽  
IHTESHAM KHAN ◽  
DR. ADNAN AHMAD
Keyword(s):  
Financial Markets ◽  
Market Efficiency ◽  
Portfolio Management ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Exchanges ◽  
Market Information ◽  
Investment Environment ◽  
Great Opportunity ◽  
Markets And Institutions

The development and the formation of financial markets and institutions is indeed very instrumental for causing the robust economic growth. Although, as a fact the security prices are readily fluctuated by the market information known as market efficiency, making it a riskier investment. Subsequently, the investors accept the undiversifiable risk (Systematic risk) and cancel out the diversifiable risk (Unsystematic risk) through active diversified Portfolio Management, such a portfolio of securities, selected through market information reflects market efficiency. Thus, this study investigates the post- merger market efficiency for the Pakistan stock exchange as the three stock exchanges of the country has recently merged into Pakistan stock exchange. The analysis is based on event methodology, covering the pre-post-merger accumulated daily abnormal returns for a duration of 90 days (three months). Thus, the study proofs with respect to the accumulated daily abnormal returns, that the merger has increased the market efficiency. Consequently, the study supports the extant literature on merger and related market efficiency and provides another empirical evidence with respect to a developing country such as Pakistan. Rationally, the recent increase in the market efficiency will assure the supply of correct market information; consequently, boosting confidence of all investors and the regulators have a great opportunity to pursue continuous improvement in the present regulatory polices to promote healthy investment environment and increase the national revenue as well.

STOCK MARKET REACTION TO BREXIT ANNOUNCEMENTS: EVIDENCE FROM A NATURAL EXPERIMENT

2019 ◽  
Vol 19 (03) ◽  
pp. 1950018 ◽  
Author(s):  
JÚLIO LOBÃO ◽  
SÍLVIA SANTOS
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Markets ◽  
Natural Experiment ◽  
Abnormal Returns ◽  
Strong Form ◽  
Trading Activity ◽  
Stock Market Reaction ◽  
Cumulative Abnormal Returns ◽  
European Stock Markets

Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sample. However, with the exception of the Irish stock market, the effects ceased to be significant in a period of five trading sessions after the event. We also document an increase in trading activity, though statistically insignificant, in the day of the referendum and in the following days. Overall, our results are in line with the semi-strong form of market efficiency.

scholarly journals TESTE EMPÍRICO DA EFICIÊNCIA DO MERCADO BRASILEIRO NA OCORRÊNCIA DE EVENTOS FAVORÁVEIS E DESFAVORÁVEIS

2008 ◽  
Vol 12 (4) ◽  
pp. 44
Author(s):  
Glauber de Castro Barbosa ◽  
Otávio Ribeiro de Medeiros
Keyword(s):  
New York ◽  
Stock Market ◽  
Market Efficiency ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Uncertain Information ◽  
Stock Market Index ◽  
Market Index ◽  
Information Hypothesis

The study has the purpose of analyzing the behavior of the Brazilian stock market in order to verify the existence of market efficiency immediately after the occurrence of favorable and unfavorable events (shocks). To achieve this purpose, an event study is performed in which the return on the Brazilian stock market index (Ibovespa) is regressed against the return on the Dow Jones stock market index, which represents the New York Stock Exchange, adopted as a proxy for the world stock market index. Regression residuals appearing as outliers above +2.5% or below –2.5% were adopted to determine positive and negative events, respectively. Cumulative Abnormal Returns were computed and tested for a period of 10 days after the events. The empirical results led to the conclusion that market efficiency is not observed both after positive and negative shocks, but an overreaction behavior is observed instead. Key words: economic shocks. Market efficiency. Overreaction. Uncertain information hypothesis. Underreaction. Event study.

scholarly journals Examining the Existence of Long-run Initial Public Offering (IPO) Underperformance at Three Different Stock Exchange Markets in Japan

2016 ◽  
Vol 7 (2) ◽  
pp. 190
Author(s):  
Yoshiki Shimizu ◽  
Hideki Takei
Keyword(s):  
Market Efficiency ◽  
Initial Public Offering ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Sampling Period ◽  
Efficient Market Hypothesis ◽  
Japanese Market ◽  
Long Run ◽  
The One ◽  
Public Offering

This study conducted the examination of the long-run performance of IPO stocks in the Japanese market by measuring the monthly AAR/CAAR of sample IPO stocks. The study did this, so as to investigate whether IPO stocks in the Japanese market outperform in the long-run, as prior research on this phenomenon in the US market (Ritter, 1991; McDonald and Fisher, 1972) had found. The finding is that on the one hand, at TOPIX and TSE-2ND, stocks IPO firms that went public during 2004 to 2011 did not underperform the market in the long-run, as the monthly CAAR of sample IPO stocks on month 36 was not statistically significant. On the other hand, the finding also reveals that at MOTHERS, IPO firms underperformed the market throughout the period between months 2 and 36, and the monthly CAAR of IPO stocks at this market was –30.08 percent on month 36. The implication of this finding for the Efficient Market Hypothesis is that market efficiency held well at TOPIX and TSE-2ND; where during the sampling period abnormal returns could not be achieved and thus the long-run IPO underperformance was unlikely to occur. On the contrary, the departure from market efficiency was observed at MOTHERS: In the long-run, IPO stocks kept experiencing negative abnormal returns, and the existence of the long-run IPO underperformance was found to be significant.  Long-run IPO underperformance did not exist, with only one exception: It is only at MOTHERS that the long-run IPO underperformance was observed, whereas at TOPIX and TSE-2ND the phenomenon was not observed. 

Is Indonesia Stock Exchange Semi-Strong Form Efficiency?

2020 ◽  
Vol 24 (2) ◽  
pp. 313
Author(s):  
Nelmida .
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
Strong Form ◽  
Cumulative Abnormal Returns ◽  
Announcement Date ◽  
Analysis Technique ◽  
Before And After

This study aims to analyze the effect of the announcement of warrant listing on the stock price movement on the Indonesia Stock Exchange (IDX). The data used in this study is secondary data on companies that warrant listing from 2011 to 2018. The number of samples used is 10 with a purposive sampling technique. The analysis technique used in this study is the study of events, by using ten windows before and after the warrant listing. To prove the hypothesis proposed by conducting a t-statistic test. Based on the results of the analysis it was found that there were significant differences an abnormal returns and cumulative abnormal returns before and after the announcement date of the warrant listing on the Indonesia Stock Exchange, and it could be indicated that the Indonesia Stock Exchange was called the semi-strong form efficiency.

CAPITAL MARKET EFFICIENCY: A Test of the Strong Form in Nigeria

2012 ◽  
Vol 02 (03) ◽  
pp. 12-18
Author(s):  
Azeez B.A. ◽  
Sulaiman L.A.
Keyword(s):  
Market Efficiency ◽  
Mutual Funds ◽  
Capital Market ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Strong Form ◽  
Market Participant ◽  
Stock Volatility ◽  
Volatility Risk ◽  
Average Return

The responsiveness of the market financial instruments in terms of prices to reflect market information and the inability of information privileged market participant(s) to out-perform other counterparts pose the quest to test whether the strong form of market efficiency prevail in the Nigerian capital market or not. With the extraction of the returns on 240 stocks from the database of the Nigerian Stock Exchange (NSE), a comparison was made between a constructed random portfolio and a 3-year annualized average return on the portfolios of the mutual fund industry. In this empirical study, the analysis deduced that mutual funds were unable to out-perform the random portfolios created from the index stocks, which thus implies that the strong form of market efficiency holds in the Nigerian Capital Market. Nonetheless, profound analysis on stock volatility risk is essential to avoid substantial loss in the stock market.

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