Essays about: "weak form market efficiency"

Showing result 6 - 10 of 33 essays containing the words weak form market efficiency.

1. 6. Investigating the efficient markethypothesis using Fourier analysis

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : David Fang; [2019]
   Keywords : Efficient Markets; Calendar effects; Seasonalities; Fourier analysis; Spectral analysis; Business and Economics;

   Abstract : This study examines if the Swedish stock market adheres to the weak form efficient market hypothesis using Fourier analysis on past stock prices to identify possible cyclic returns. Fourier analysis is well suited for finding seasonalities which would violate the weak-form efficiency. READ MORE

3. 7. The Favorite-Longshot Bias: Efficiency of Prices in Fixed-Odds Betting Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Edvin Ahlander; [2019]
   Keywords : market efficiency; betting; decision under risk; logit model; behavioral economics;

   Abstract : The statistical weak form efficiency in the fixed-odds betting market for English Premier League football matches is evaluated, applying both a multinomial logit regression model and four different sets of grouped z-tests, using a data set containing 119481 odds from 11 bookmakers over a period of 12 years. The empirical results show that the aggregate betting market is statistically weak form inefficient, implying that prices of odds do not contain all available information on historical prices and therefore are biased predictors of actual match outcomes. READ MORE

4. 8. Stock Market Anomalies: The Day-Of-The-Week-Effect : An empirical study on the Swedish Stock Market: A GARCH Model Analysis

   University essay from Högskolan i Jönköping/IHH, Företagsekonomi

   Author : Alexander Abrahamsson; Simon Creutz; [2018]
   Keywords : Day-of-the-week-effect; GARCH; Stock Market Anomalies;

   Abstract : Background: The day-of-the-week effect has been a widely studied field ever since the concept was introduced in the early 1970s. Historically, negative returns on Mondays have been the most common finding. In line with improved market efficiency, researchers have started to question the existence of this anomaly. READ MORE

5. 9. Market Efficiency Under Differing Regulatory Frameworks

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Jacob Carlsson; Erik Bergstrand; [2017]
   Keywords : MTF; MiFID; Market efficiency; transaction costs; event study;

   Abstract : This study investigates empirical evidence for differences in terms of market efficiency between exchange-regulated (Multilateral Trading Facilities) and regulated marketplaces (i.e. the weak-form efficiency). The study explores the nature of the random walk of the marketplaces (i. READ MORE

6. 10. Study of the Weak-form Efficent Market Hypothesis - Evidence from the Chinese stock market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Nadja Grochevaia; John Hang; [2016-04-19]
   Keywords : market efficiency; efficient market hypothesis; weak-form efficiency; random walk; Chinese stock market; variance ratio test; daily calendar effect;

   Abstract : This paper examines the Chinese stock market efficiency through validation of the weak-form efficient market hypothesis of the Shanghai and Shenzhen stock exchanges. Also, the paper attempts to determine the presence of daily calendar effects on the Chinese stock market. READ MORE