Testing The Weak Market Efficiency Hypothesis For The Danish Stock Market

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Testing the Weak Market Efficiency Hypothesis for the Danish Stock Market

Author : Kristoffer Breiner Nielsen
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.:/5 (755 download)

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Book Synopsis Testing the Weak Market Efficiency Hypothesis for the Danish Stock Market by : Kristoffer Breiner Nielsen

Download or read book Testing the Weak Market Efficiency Hypothesis for the Danish Stock Market written by Kristoffer Breiner Nielsen and published by . This book was released on 2008 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the weak Market Efficiency Hypothesis is tested against the Danish stock market. This is done by applying the Kuan and Lee (2004) test of the Martingale Difference Hypothesis to the returns of three major Danish stock indices. The results show indications of return predictability in the Danish stock market, as a number of the tests reject the null hypothesis of the returns following a MD-sequence, though the results are somewhat inconclusive, and vary across size, observation frequency, industry and time. Finally the results of the Danish stock market are compared to those of other major indices world wide, showing a greater level of return predictability of the Danish stock market. These results are discussed and possible explanations presented in the paper, also comparing the results with those of previous empirical research of the Danish stock market. The paper concludes with a discussion of the joint hypothesis problem of whether the results can be interpreted as if the Danish stock market is weak form efficient.

The Efficient Market Hypothesis and Its Application to Stock Markets

Author : Sebastian Harder
Publisher : GRIN Verlag
ISBN 13 : 3640743768
Total Pages : 65 pages
Book Rating : 4.6/5 (47 download)

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Book Synopsis The Efficient Market Hypothesis and Its Application to Stock Markets by : Sebastian Harder

Download or read book The Efficient Market Hypothesis and Its Application to Stock Markets written by Sebastian Harder and published by GRIN Verlag. This book was released on 2010-11 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.

'The Efficient Market Hypothesis'

Author : Georgios Andreas Svarnias
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)

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Book Synopsis 'The Efficient Market Hypothesis' by : Georgios Andreas Svarnias

Download or read book 'The Efficient Market Hypothesis' written by Georgios Andreas Svarnias and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Principles of the Efficient Market Hypothesis

Author :
Publisher : GRIN Verlag
ISBN 13 : 3346537048
Total Pages : 24 pages
Book Rating : 4.3/5 (465 download)

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Book Synopsis Principles of the Efficient Market Hypothesis by :

Download or read book Principles of the Efficient Market Hypothesis written by and published by GRIN Verlag. This book was released on 2021-11-12 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2018 in the subject Business economics - Market research, grade: 1,0, accadis Hochschule Bad Homburg, course: International Finance, language: English, abstract: This project will focus on the Efficient Market Hypothesis which is used in the form of its abbreviation EMH during the next sections. In this context, in Part A EMH will be examined in the context of the Dow Jones Industrial Average, which includes 30 components and is America's most prominent and globally applied stock index. Multiple economists have taken studies of efficient market hypothesis to their main subject, subsequently, efficient market hypothesis is one of the most common and observed theories in modern finance. Today, EMH is widely used and prospers from frequent testing, which, in the past, has led to new findings, more precisely, different emphasis of EMH. During his research, the previously mentioned economist Fama investigated in his test that there must be three emphasis of EMH, which he differentiated into weak form market efficiency, semi-strong form market efficiency as well as strong form market efficiency. In the modern theory of finance, the most known starting theory is that of efficient capital markets. In repetition to part A of this assignment, the term “efficiency” denotes the fact that investors have no opportunity of obtaining abnormal profits from capital market transactions as compared to other investors, so that they cannot beat the market. Consequently, investors are forced to invest in higher risk assets to increase the probability of gaining short term profits. The EMH theory is very controversial and many opposing opinions regarding this theory exist. By empirically testing, this assignment outlines the insufficiency to reject Weak Form Market Efficiency for the Dow Jones Industrial Average index. However, stock market returns are considered to be random. It is suggested that investors are incapable of constantly outperforming the market even if stock market indexes show certain temporarily anomalies, which remain hypothesized. Besides of other studies and reports, this assignment emphasizes the inability of the Efficient Market Hypothesis to explain anomalies at the current state of research. Finally, further research on the basis of new empirical data will maintain the debates about interpretation and possibilities to forecast stock prices in the course of EMH.

Testing the Efficient Market Hypothesis Using Panel Data; With Application to the Athens Stock Exchange

Author : Everton Dockery
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Testing the Efficient Market Hypothesis Using Panel Data; With Application to the Athens Stock Exchange by : Everton Dockery

Download or read book Testing the Efficient Market Hypothesis Using Panel Data; With Application to the Athens Stock Exchange written by Everton Dockery and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper performs unit root tests using panel data to investigate empirically stock price efficiency of the Athens stock market. Our Wald test statistics reject the random walk hypothesis for stock prices, which is a necessary condition for market efficiency.

The Efficient Market Hypothesis

Author : Noraini Mohd Ariffin
Publisher :
ISBN 13 :
Total Pages : 77 pages
Book Rating : 4.:/5 (957 download)

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Book Synopsis The Efficient Market Hypothesis by : Noraini Mohd Ariffin

Download or read book The Efficient Market Hypothesis written by Noraini Mohd Ariffin and published by . This book was released on 1995 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Efficient Market Hypothesis and its Validity in Today's Markets

Author : Stefan Palan
Publisher : GRIN Verlag
ISBN 13 : 3638333523
Total Pages : 75 pages
Book Rating : 4.6/5 (383 download)

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Book Synopsis The Efficient Market Hypothesis and its Validity in Today's Markets by : Stefan Palan

Download or read book The Efficient Market Hypothesis and its Validity in Today's Markets written by Stefan Palan and published by GRIN Verlag. This book was released on 2004-12-21 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thesis (M.A.) from the year 2004 in the subject Business economics - Investment and Finance, grade: 1 (A), University of Graz (Institute für Industrial Economics), language: English, abstract: This Master Thesis gives an overview of the research into the efficient market hypothesis from its first days in the 1950s to the present. The discussion of theoretical models and concepts is being complemented by a review of relevant empirical evidence from international capital markets. The thesis is completed by a brief outlook on newer research venues, including models employing behavioural finance approaches.

Testing Weak Form of Efficient Market Hypothesis

Author : Saqib Nisar
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Testing Weak Form of Efficient Market Hypothesis by : Saqib Nisar

Download or read book Testing Weak Form of Efficient Market Hypothesis written by Saqib Nisar and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) suggests that stock prices fully reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This research has examined the weak form of efficient market hypothesis on the four major stock exchanges of South Asia that are Karachi stock exchange (KSE-100), Bombay stock exchange (BSE-SENSEX), Colombo stock exchange (CSE-MPI) and Dhaka stock exchange (DSE-GEN). Historical index values of KSE-100, BSE-SENSEX, CSE-MPI and DSE-GEN on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). We applied four different statistical tests including runs test, serial correlation (Durbin Watson test), unit root and variance ratio test. Findings suggest that none of the four major stock markets of south-Asia follows Random-walk and hence all these markets are not the weak form of efficient market.

Random Walk Or Mean Reversion

Author : Ole Risager
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (246 download)

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Book Synopsis Random Walk Or Mean Reversion by : Ole Risager

Download or read book Random Walk Or Mean Reversion written by Ole Risager and published by . This book was released on 1998 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper contributes to the growing literature on mean reversion in stock markets by examining a newly constructed Danish data set for the period 1922-95. Variance ratio tests clearly reject the random walk hypothesis at the 2-year horizon, that is, the riskiness of a 2- year investment is significantly less than twice the risk of a 1-year investment. Variance ratio tests for 3- and 4-year horizons are not significant under conventional significance levels, whereas autocorrelation tests of the joint hypothesis that there is departure from random walk at all horizons tend to reject the random walk hypothesis and support the mean reversion hypothesis.

A Reappraisal of the Efficiency of Financial Markets

Author : Rui M.C. Guimaraes
Publisher : Springer Science & Business Media
ISBN 13 : 3642747418
Total Pages : 799 pages
Book Rating : 4.6/5 (427 download)

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Book Synopsis A Reappraisal of the Efficiency of Financial Markets by : Rui M.C. Guimaraes

Download or read book A Reappraisal of the Efficiency of Financial Markets written by Rui M.C. Guimaraes and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 799 pages. Available in PDF, EPUB and Kindle. Book excerpt: The behaviour of market prices is a fascinating subject for researchers. Opinions vary substantially. from the view that prices accurately and quickly reflect relevant information to the other extreme that prices are not rationally determined and are hence to some degree predictable. This diversity of belief about the efficiency of markets is reflected in these proceedings of the NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets". The thirty-one workshop papers cover stock. currency and commodity markets. We are pleased to have contributions on markets in eleven NATO countries: Belgium. Canada. Denmark. France. Germany. Greece. Italy. the Netherlands. Portugal. the United Kingdom and the United States. The workshop papers thus provide a wide-ranging account of contemporary research into financial markets worldwide. The workshop was held at the Hotel do Mar. Sesimbra. Portugal from April 11 th to April 15th. 1988. We record our gratitude to Jose Cabral for ensuring the smooth progress of the workshop. The generous financial assistance of NATO was supplemented by contributions from: The Chicago Board of Trade. Alianca Seguradora. Banco Comercial Portugues. Fundacao Luso-Americana Para 0 Desenvolvimento. Junta Nacional de Investigacao Cientifica e Tecnologica. We speak for all the workshop participants in expressing our thanks to all our sponsors. Rui M. Campos Guimaraes. University of Porto.

Short Introduction to Corporate Finance

Author : Raghavendra Rau
Publisher : Cambridge University Press
ISBN 13 : 1316984117
Total Pages : 196 pages
Book Rating : 4.3/5 (169 download)

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Book Synopsis Short Introduction to Corporate Finance by : Raghavendra Rau

Download or read book Short Introduction to Corporate Finance written by Raghavendra Rau and published by Cambridge University Press. This book was released on 2017-01-11 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Short Introduction to Corporate Finance provides an accessibly written guide to contemporary financial institutional practice. Rau deploys both his professional expertise and experience of teaching MBA and graduate-level courses to produce a lively discussion of the key concepts of finance, liberally illustrated with real-world examples. Built around six essential paradigms, he builds an integrated framework covering all the major ideas in finance over the past half-century. Ideal for students and practitioners alike, it will become core reading for anyone aspiring to become an effective manager.

An EMH Test on the Danish and Norwegian Stock Markets by Use of Technical Analysis and the Bootstrap Approach

Author : Hans Henrik Furøy
Publisher :
ISBN 13 :
Total Pages : 155 pages
Book Rating : 4.:/5 (464 download)

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Book Synopsis An EMH Test on the Danish and Norwegian Stock Markets by Use of Technical Analysis and the Bootstrap Approach by : Hans Henrik Furøy

Download or read book An EMH Test on the Danish and Norwegian Stock Markets by Use of Technical Analysis and the Bootstrap Approach written by Hans Henrik Furøy and published by . This book was released on 1995 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Analysis of Weak Form of Market Efficiency

Author : Uttam B Sapate
Publisher : Educreation Publishing
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4./5 ( download)

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Book Synopsis Econometric Analysis of Weak Form of Market Efficiency by : Uttam B Sapate

Download or read book Econometric Analysis of Weak Form of Market Efficiency written by Uttam B Sapate and published by Educreation Publishing. This book was released on with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric Analysis of Weak Form of Market Efficiency This book "Econometric Analysis of Weak Form of Market Efficiency" is an outcome of doctoral research work carried out on a large amount of stock market data using MATLAB software. It is a unique study wherein a battery of econometric tests has been applied to test the Indian stock market's weak form efficiency. This book consists of 6 chapters describing the concepts of market efficiency, econometric analysis and outcomes of the study. Each chapter deals with complex mathematical terminology in lucid and simple language for better understanding. This books aims at providing advance knowledge to the researches for application of econometric techniques to ascertain market efficiency. However, at the same time it is useful as a practical guide to the graduate / post graduate students of management, economics, and securities markets and engineering for carrying out desk research using MATLAB handling large amount of secondary data. The research outcomes are expected to be guiding force to investors, academicians, researchers in many ways wherein this work can further be extended.

Tests of Weak-form Stock Market Efficiency on the Korea Stock Exchange

Author : Soo-Chul Lee
Publisher :
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Tests of Weak-form Stock Market Efficiency on the Korea Stock Exchange by : Soo-Chul Lee

Download or read book Tests of Weak-form Stock Market Efficiency on the Korea Stock Exchange written by Soo-Chul Lee and published by . This book was released on 1990 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Practical Portfolio Performance Measurement and Attribution

Author : Carl R. Bacon
Publisher : John Wiley & Sons
ISBN 13 : 1119995477
Total Pages : 488 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Practical Portfolio Performance Measurement and Attribution by : Carl R. Bacon

Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

The Efficiency of China's Stock Market

Author : Shiguang Ma
Publisher : Routledge
ISBN 13 : 1351146912
Total Pages : 302 pages
Book Rating : 4.3/5 (511 download)

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Book Synopsis The Efficiency of China's Stock Market by : Shiguang Ma

Download or read book The Efficiency of China's Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.

Valuation of Unlisted Direct Investment Equity

Author : Emmanuel O. Kumah
Publisher : International Monetary Fund
ISBN 13 : 1451873891
Total Pages : 75 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Valuation of Unlisted Direct Investment Equity by : Emmanuel O. Kumah

Download or read book Valuation of Unlisted Direct Investment Equity written by Emmanuel O. Kumah and published by International Monetary Fund. This book was released on 2009-11-01 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the seven valuation methods for unlisted direct investment equity included in the recently adopted IMF Balance of Payments and International Investment Position Manual, Sixth Edition (BPM6). Based on publicly available Danish data, we test the three methods that are generally applicable and find that the choice of valuation method and estimation technique can have a highly significant impact on the international investment position, pointing to the need for further harmonization. The results show that the price-to-book value method generates more robust market value estimates than the price-to-earnings method. This finding suggests that the valuation basis for the forthcoming Coordinated Direct Investment Survey - own funds at book value -will provide useful information for compiling the international investment position.