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Wyszukujesz frazę "efficient market hypothesis" wg kryterium: Temat


Wyświetlanie 1-3 z 3
Tytuł:
Stock price volatility and fundamental value: evidence from Central and Eastern European countries
Autorzy:
Gajdka, Jerzy
Pietraszewski, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/943131.pdf
Data publikacji:
2017-12-20
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
present value model
fundamental value
efficient market hypothesis
CEE
countries
Opis:
The paper deals with the problem of the discrepancy between fundamental values of shares in the stock market and their market prices. In particular it discusses the problem of the excessive volatility of stock prices compared with changes in their fundamental value determined as the present value of dividends paid by the company. The results of research on this issue for the US market initiated and popularized by Robert Shiller provided strong arguments against the hypothesis of capital market efficiency stating that stock prices immediately account for any new information affecting the fundamental value of assets. This problem has been studied neither for the Polish stock market nor for other post-communist countries in Central and Eastern Europe. The paper presents preliminary results of research into these stock markets.
Źródło:
Economics and Business Review; 2017, 3(17), 4; 28-46
2392-1641
Pojawia się w:
Economics and Business Review
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Testing the weak-form efficiency of agriculture’s capital markets
Autorzy:
Ghmire, Binam
Annussek, Kolja
Harvey, Jackie
Sharma, Satish
Powiązania:
https://bibliotekanauki.pl/articles/557680.pdf
Data publikacji:
2016-06-30
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
agriculture, efficient market hypothesis [EMH], autocorrelation, runs test, unit root test, random walk.
Opis:
This paper investigates the empirical validity of the weak-form Efficient Market Hypothesis [EMH] in global equity markets for agriculture. We examine whether developed agriculture markets are more efficient than emerging agriculture markets. We test six agriculture and food chain indices over the period of time between 2010 and 2013. The weak EMH was tested using the parametric Augmented Dickey-Fuller test as well as the non-parametric Runs test and Autocorrelation function test. The parametric test suggested some evidence for the existence of the weak-form EMH for all six indices in at least some of the five tested periods. However the non-parametric tests clearly proved the inefficiency of all indexes during all periods. Thus we finally rejected the null hypothesis for all indices in all periods. Accordingly agriculture’s developed markets are equally inefficient and predictable as its emerging markets. The results of this work suggest that investors can achieve superior returns by investing in agricultural equity markets following a technical analysis and active portfolio approach. Thus this work is in great interest of investors and portfolio managers following an agriculture strategy. The study adds value to current research of market efficiency in developed as well as emerging markets.
Źródło:
Economics and Business Review; 2016, 2(16), 2; 3-17
2392-1641
Pojawia się w:
Economics and Business Review
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The adaptive market hypothesis and the return predictability in the cryptocurrency markets
Autorzy:
Karasiński, Jacek
Powiązania:
https://bibliotekanauki.pl/articles/2192168.pdf
Data publikacji:
2023-04-27
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
cryptocurrency markets
adaptive market hypothesis
efficient market hypothesis
cryptocurrency return predictability
weak-form efficiency of cryptocurrency markets
martingale difference hypothesis
Opis:
This study employs robust martingale diefrence hypothe sis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suefred some short periods of weak-form ineficien cy. The results obtained validate the adaptive market hy pothesis. Additionally, this study allowed the observation of some diefrences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form eficiency were identifed. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relation ship between market cap and predictability was observed. JEL codes: G14
Źródło:
Economics and Business Review; 2023, 9, 1; 94-118
2392-1641
Pojawia się w:
Economics and Business Review
Dostawca treści:
Biblioteka Nauki
Artykuł
    Wyświetlanie 1-3 z 3

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