Temat: efficient market hypothesis - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Rynki finansowe w warunkach ograniczonej racjonalności
Financial markets in the conditionsof bounded rationality
Autorzy:: Ambroziak, Łukasz
Powiązania:: https://bibliotekanauki.pl/articles/569972.pdf
Data publikacji:: 2014
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: financial markets
bounded rationality
efficient market hypothesis
Opis:: In this paper an attempt was made to clarify the reasons of price movements on financial markets in the conditions of decision-makers bounded rationality. The emphasis of rationality of individuals, which is limited by information they have and the cognitive limitations of their minds, allowed to discuss the hypothesis of efficient markets and an assumption of their rational expectations. As a results of these considerations a model of financial markets was formulated in which an investor could choose different investment strategies and decide to change originally chosen ones as a consequence of their bounded rationality.
Źródło:: Ekonomia XXI Wieku; 2014, 3(3); 76-93
2353-8929
Pojawia się w:: Ekonomia XXI Wieku
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

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

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Skocz do pozycji: 3.

Tytuł:: Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic
Autorzy:: Dias, Rui
Teixeira, Nuno
Machova, Veronika
Pardal, Pedro
Horak, Jakub
Vochozka, Marek
Powiązania:: https://bibliotekanauki.pl/articles/19233559.pdf
Data publikacji:: 2020
Wydawca:: Instytut Badań Gospodarczych
Tematy:: COVID-19
capital market
random walk hypothesis
efficient market hypothesis
arbitration
portfolio diversification
Opis:: Research background: Covid-19 has affected the global economy and has had an inevitable impact on capital markets. In the week of February 24-28, 2020, stock markets crashed. The index FTSE 100 decreased 13%, while the indices DJIA and S&P 500 fell 11-12%, the biggest drop since the 2007-2008 financial and economic crisis. It is therefore of interest to test the random walk hypothesis in developed capital markets, European and also non-European, in order to understand the different predictabilities between them. Purpose of the article: The aim is to analyze capital market efficiency, in its weak form, through the stock market indices of Belgium (index BEL 20), France (index CAC 40), Germany (index DAX 30), USA (index DOW JONES), Greece (index FTSE Athex 20), Spain (index IBEX 35), Ireland (index ISEQ), Portugal (index PSI 20) and China (index SSE) for the period from December 2019 to May 2020. Methods: Panel unit root tests of Breitung (2000), Levin et al. (2002) and Hadri (2002) were used to assess the time series stationarity. The test of Clemente et al. (1998) is used to detect structural breaks. The tests for the random walk hypothesis follows the variance ratio methodology proposed by Lo and MacKinlay (1988). Findings & Value added: In general, we found mixed confirmation about the EMH (efficient market hypothesis). Taking into account the conclusions of the rank variance test, the random walk hypothesis was rejected in the case of stock indices: Dow Jones, SSE and PSI 20, partially rejected in the case indices: BEL 20, CAC 40, FTSTE Athex 20 and DEX 30, but accepted for indices: IBEX 35 and ISEQ. The results also show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation has consequences for investors, since some returns can be expected, creating opportunities for arbitrage and for abnormal returns, contrary to the assumptions of random walk and information efficiency.
Źródło:: Oeconomia Copernicana; 2020, 11, 4; 585-608
2083-1277
Pojawia się w:: Oeconomia Copernicana
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: The nexus between Prices and Macroeconomic Variables in Iran
Autorzy:: Mehrara, Mohsen
Powiązania:: https://bibliotekanauki.pl/articles/1194077.pdf
Data publikacji:: 2014
Wydawca:: Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
Tematy:: Granger Causality and Efficient Market Hypothesis
Macroeconomic variables
Stock Price Index
Opis:: This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for the period 1993:1 to 2010:4. The results show unidirectional long run causality from macroeconomic variables to stock market. Accordingly, the stock prices are not a leading indicator for economic variables, which is inconsistent with the previous findings that the stock market rationally signals changes in real activities. Contrarily, the macro variables seem to lead stock prices. So, Tehran Stock Exchange (TSE) is not informationally efficient.
Źródło:: World Scientific News; 2014, 6; 1-9
2392-2192
Pojawia się w:: World Scientific News
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: Wpływ teorii makroekonomicznych na etyczną jakość praktyki finansowej
Autorzy:: Wiśniewski, Jakub Bożydar
Powiązania:: https://bibliotekanauki.pl/articles/1371508.pdf
Data publikacji:: 2019-12-30
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: animal spirits
causal realism
efficient market hypothesis
financial ethics
institutional entrepreneurship
Opis:: The aim of the present paper is to investigate the logical relationship between the prevalence of specific macroeconomic theories and the ethical quality of practices that take place in the financial markets. The main thesis presented herein is that viewing the financial markets through an appropriate economic framework is a crucial prerequisite of maintaining their ethical foundations and harnessing their ethical potential. Three competing macroeconomic visions – the “animal spirits” theory, the efficient market hypothesis, and the causal-realist market process approach – are assessed with respect to their logically deducible effects on the ethical thinking of financial operators. The main conclusion of the paper is that the causal-realist approach provides the most satisfactory account of the inherent conceptual nature of financial markets, thereby furnishing the best guidance for the development of appropriate professional virtues by their key members.
Źródło:: Annales. Etyka w Życiu Gospodarczym; 2019, 22, 4; 7-20
1899-2226
2353-4869
Pojawia się w:: Annales. Etyka w Życiu Gospodarczym
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Prosty test słabej hipotezy rynku efektywnego w warunkach GPW w Warszawie
Simple Test Weak-Form Efficient Market Hypothesis on the Warsaw Stock Exchange
Autorzy:: Sekuła, Paweł
Powiązania:: https://bibliotekanauki.pl/articles/904590.pdf
Data publikacji:: 2013
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:: efficient market hypothesis
Warsaw Stock Exchange
hipoteza rynku efektywnego
GPW w Warszawie
Opis:: This paper aims to determine whether the Polish capital market is efficient at low level. The test results suggest the presence of autocorrelation of daily returns on WIG index. However, observations showed weakening of the autocorrelation with the development of the Warsaw Stock Exchange.
Źródło:: Acta Universitatis Lodziensis. Folia Oeconomica; 2013, 287
0208-6018
2353-7663
Pojawia się w:: Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange
Autorzy:: Karasiński, Jacek
Zduńczak, Patryk
Powiązania:: https://bibliotekanauki.pl/articles/2027261.pdf
Data publikacji:: 2021
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Tematy:: Efficient market hypothesis
Market value ratios
Random walk
Stock markets
Weak-form efficiency
Opis:: Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach - Following Bachelier's strict random walk model, we quantified a weak-form informational market efficiency with the use of the percentage of normality tests in stock returns run (Expanded Shapiro-Wilk, D'Agostino-Pearson and Jarque-Bera), which indicate that the analyzed distribution is normal (a null hypothesis cannot be rejected). The empirical study was based on the comparison of the market value ratios (P/E and P/BV) and the informational efficiency measure at the level of particular companies, listed on the Main Market and NewConnect of the Warsaw Stock Exchange, and grouped into eight sectors. In order to do this, we analyzed scatterplots, descriptive statistics, Pearson's and Spearman's rank correlation coefficients. The dataset covered 214 companies (based on the assumptions made) in the period from 2016, December 31 to 2020, March 23. Findings - Results obtained indicated that, in most cases, the extremely high values of market value ratios did not co-occur with market inefficiency. Hence, the outstandingly high market value ratios do not have to be the symptoms of market inefficiency. Research implications/limitations - Following a common belief shared in the industry, but still not examined yet, this study examines the possible co-occurrence of extremely high market valuation and market inefficiency, but does not exploit it fully. The authors encourage other researchers, especially, to apply other market value ratios and to come up with their own ideas for market efficiency proxies. What is more, this study has been conducted on a relatively small market, thus the conclusions drawn from the study on the WSE should be tested on other, more developed markets. Originality/value/contribution - According to the authors' knowledge, this study is one of the first trying to examine if the extremely high market value ratios are the symptoms of the informational inefficiency of the market.
Źródło:: Journal of Economics and Management; 2021, 43; 206-224
1732-1948
Pojawia się w:: Journal of Economics and Management
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: THE ANALYSIS OF AN INVESTMENT RISK WITHIN EMERGING CAPITAL MARKETS. THE CASE OF THE WARSAW STOCK EXCHANGE
Autorzy:: Kowerski, Mieczyslaw
Powiązania:: https://bibliotekanauki.pl/articles/599410.pdf
Data publikacji:: 2010
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Tematy:: EFFICIENT MARKET HYPOTHESIS
FAMA-FRENCH THREE-FACTOR MODEL
GENERALIZED LEAST SQUARES METHOD
Opis:: The purpose of the paper is to show that the three-factor Fama-French model can be a good instrument for analysis of investment risk on emerging capital markets if, because of the relatively small number of quoted companies, for calculation of the SMB and HML values we applied division of all companies into four portfolios (contrary to Fama – French who propose division of all companies into six portfolios). The usefulness of the above concept was verified on the Warsaw Stock Exchange. The models estimated with the Generalized Least Squares Method on monthly data within the period 1994 – 2008 have the signs of coefficients which are consistent with those of the Fama-French three-factor model and there is no autocorrelation of disturbances and no ARCH effect. Models are relatively high adjusted. Estimated coefficients are also robust. The models fully confirm the thesis posed by Fama and French that in addition to market risk there are two other risk factors which influence the return on investment. These are: risk associated with investing in small companies and risk connected with investing in companies undervalued by the market.
Źródło:: Finansowy Kwartalnik Internetowy e-Finanse; 2010, 6, 4; 1-23
1734-039X
Pojawia się w:: Finansowy Kwartalnik Internetowy e-Finanse
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: Rynki finansowe w mechanizmie nadzoru korporacyjnego
The financial markets in the corporate governance mechanism
Autorzy:: Peszko, Adam
Powiązania:: https://bibliotekanauki.pl/articles/595841.pdf
Data publikacji:: 2014
Wydawca:: Łódzkie Towarzystwo Naukowe
Tematy:: nadzór korporacyjny
hipotezy rynku efektywnego
rynek finansowy
corporate governance
efficient market hypothesis
financial market
Opis:: The study critically estimates the financial markets as external tools of corporate supervision. Moreover the key meaning of accountancy in the corporation management was exposed. These conclusions were based on the universal analysis of Simon, Stiglitz, Fama and Shiller scientific publications – the laureates’ of Prize in Economic Sciences in memory of Alfred Nobel.
Źródło:: Studia Prawno-Ekonomiczne; 2014, XCI (91)/2; 281-292
0081-6841
Pojawia się w:: Studia Prawno-Ekonomiczne
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

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

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