scholarly journals Analysis of the January Effect in Time Series of Mexican Stock Market Indexes

2019 ◽  
pp. 43-62
Author(s):  
Mariana Garay Alvarado ◽  
Michael Demmler
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Empirical Evidence ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Efficient Market ◽  
Significant Evidence ◽  
Current Article ◽  
Market Indexes

The current article has the research objective to search for empirical evidence of the January effect within the time series of the IPC and the sector indexes of the Mexican stock market using econometric GARCH analysis. The dataset is formed by the log returns of the daily closing prices corresponding to the IPC as well as the sector indexes covering the period from 01/01/2010 to 12/31/2018. The main results of the article are as follows: Based on the January effect the Efficient Market Hypothesis in its weak form sense cannot be rejected for the Mexican stock market as the results do not provide significant evidence of the existence of the respective calendar anomaly within the analyzed time series of the IPC and the different sector indexes.

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets

2017 ◽  
Author(s):  
Kashif Hamid ◽  
Muhammad Tahir Suleman ◽  
Syed Zulfiqar Ali Shah ◽  
Rana Shahid Imdad Akash
Keyword(s):  
Empirical Evidence ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Asia Pacific ◽  
Efficient Market

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

scholarly journals The Disappearing Calendar Anomalies in the Singapore Stock Market

2006 ◽  
Vol 11 (2) ◽  
pp. 123-139 ◽  
Author(s):  
Wing-Keung Wong ◽  
Aman Agarwal ◽  
Nee-Tat Wong
Keyword(s):  
Stock Market ◽  
Efficient Market Hypothesis ◽  
Stock Index ◽  
January Effect ◽  
Trading Behavior ◽  
Recent Period ◽  
Efficient Market ◽  
Day Of The Week ◽  
Calendar Anomalies ◽  
Stock Index Returns

This paper investigates the calendar anomalies in the Singapore stock market over the recent period from 1993-2005. Specifically, changes in stock index returns are examined surrounding January (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the month (the turn-of-the-month effect) and before holidays (the pre-holiday effect). The findings reveal that these anomalies have largely disappeared from the Singapore stock market in recent years. The disappearance of these anomalies has important implications for the efficient market hypothesis and the trading behavior of investors.

scholarly journals THE EFFICIENT MARKET HYPOTHESIS: A CRITICAL REVIEW OF LITERATURE AND METHODOLOGY

Ekonomika ◽  
2014 ◽  
Vol 93 (2) ◽  
pp. 7-23 ◽  
Author(s):  
Augustas Degutis ◽  
Lina Novickytė
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Capital Markets ◽  
Intrinsic Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Current Status ◽  
Efficient Market ◽  
Baltic Countries ◽  
The Baltic

The development of the capital markets is changing the relevance and empirical validity of theefficient market hypothesis. The dynamism of capital markets determines the need for efficiency research. The authors analyse the development and the current status of the efficient market hypothesis with an emphasis on the Baltic stock market. Investors often fail to earn an excess profit, but yet stock market anomalies are observed and market prices often deviate from their intrinsic value. The article presents an analysis of the concept of efficient market. Also, the market efficiency evolution is reviewed and its current status is analysed. This paper presents also an examination of stock market efficiency in the Baltic countries. Finally, the research methods are reviewed and the methodology of testing the weak-form efficiency in a developing market is suggested. 

Test of Weak Form Efficient Market Hypothesis in Nigerian Stock Market

2017 ◽  
Vol 6 (3) ◽  
pp. 11-22
Author(s):  
S. N. O. Ibenta ◽  
P. I. Adigwe ◽  
Michael C. Obialor
Keyword(s):  
Stock Market ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Efficient Market
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