Efficient Market Hypothesis

Marwala, Tshilidzi; Hurwitz, Evan

doi:10.1007/978-3-319-66104-9_9

Cited by 8 publications

(5 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The findings of this study shed light on the complexities inherent in predicting the monthly closing prices of Islamic stock indices across six countries. Despite demonstrating accuracy within a specific timeframe, the implications of these predictions warrant careful consideration in light of the Efficient Market Hypothesis (EMH) (Marwala & Hurwitz, 2017). EMH posits that stock prices reflect all available information, rendering it impossible for investors to outperform the market consistently.…”

Section: Discussionmentioning

confidence: 99%

Predicting Shariah Stock Market Indices with Machine Learning: A Cross-Country Case Study

Khairunnisa,

Rodoni,

Rama

2024

JESTT

View full text Add to dashboard Cite

Stock prices are influenced by numerous factors, including policy adjustments, economic conditions, and international developments. Consequently, forecasting stock price trends accurately has posed a significant challenge for economists to study. The Islamic financial industry experiences fewer shocks compared to the traditional financial sector, allowing investors to anticipate the performance of Islamic indices. This study aims to predict the Islamic stock market indices in six countries, including Indonesia, Thailand, Malaysia, Pakistan, the United Arab Emirates, and Qatar, using the Autoregressive Integrated Moving Average (ARIMA) model. Monthly data from 2013 to 2023 sourced from investing.com and Yahoo Finance are analyzed using R machine learning. The objective of this study is to provide accurate predictions for the next 25 months and offer insights into potential price movements. Overall, this research also sheds light on the dynamics of the Islamic market in Indonesia, Thailand, Malaysia, Pakistan, the United Arab Emirates, and Qatar, which adhere to the Efficient Market Hypothesis (EMH) due to the predictability of index prices by historical data. Keywords: forecating, R-Studio, ARIMA, Islamic Stock Market, Machine Learning, R-Programming ABSTRAK Harga saham dipengaruhi oleh banyak faktor, termasuk penyesuaian kebijakan, kondisi ekonomi, dan perkembangan internasional. Oleh karena itu, memprediksi tren harga saham dengan akurat telah menjadi tantangan signifikan bagi para ekonom untuk mempelajarinya. Industri keuangan Islam mengalami lebih sedikit goncangan dibandingkan dengan sektor keuangan tradisional, yang memungkinkan investor untuk memperkirakan kinerja indeks Islam. Studi ini bertujuan untuk memprediksi indeks pasar saham Islam di enam negara, termasuk Indonesia, Thailand, Malaysia, Pakistan, Uni Emirat Arab, dan Qatar, menggunakan model Autoregressive Integrated Moving Average (ARIMA). Data bulanan dari tahun 2013 hingga 2023 yang berasal dari investing.com dan Yahoo Finance dianalisis menggunakan pembelajaran mesin R. Tujuan dari studi ini adalah untuk memberikan prediksi yang akurat untuk 25 bulan mendatang dan menawarkan wawasan tentang pergerakan harga yang potensial. Secara keseluruhan, penelitian ini juga memberikan cahaya tentang dinamika pasar Islam di Indonesia, Thailand, Malaysia, Pakistan, Uni Emirat Arab, dan Qatar, yang mengikuti Hipotesis Pasar Efisien (EMH) karena dapat diprediksi oleh data historis.. Kata Kunci: Prediksi, R-Studio, ARIMA, Indeks Pasar Modal Syariah, Machine Learning, R-Programming

show abstract

Section: Discussionmentioning

confidence: 99%

Predicting Shariah Stock Market Indices with Machine Learning: A Cross-Country Case Study

Khairunnisa,

Rodoni,

Rama

2024

JESTT

View full text Add to dashboard Cite

show abstract

“…The Efficient Market Hypothesis claims that efficient capital markets incorporate all the available information into stock prices (Marwala & Hurwitz, 2017). One of the key sources of such information is earnings announcements.…”

Section: Earnings Announcements and Stock Market Reactionmentioning

confidence: 99%

Who Gets Believed? Trust and Investor Reaction to Earnings Announcements in Sharīʿah-Compliant vs. Sharīʿah Non-Compliant Firms

Ahmed¹,

Sharif²

2023

IJIF

View full text Add to dashboard Cite

Purpose ‒ Considering the proclamations of trustworthiness within the Islamic financial system and the positive relationship between stock market reaction and earnings announcement of the trustworthy firm, this paper aims to empirically test the presence of trust in Sharīʿah-compliant listed firms in Pakistan. Design/Methodology/Approach ‒ The research question has been addressed by investigating firms listed on the Pakistan Stock Exchange (PSX) from 1 July 2019 to 30 June 2020. Event study method has been used by taking Abnormal Return Variance (ARV) and Abnormal Trading Volume (ATV) as proxies to measure the investors’ reaction following earnings announcements. Findings ‒ The results suggest that stock price variations around earnings announcements are negatively related to trustworthy firms compared to less-trusted firms (i.e., Sharīʿah non-compliant firms). For ATV, it was found that traders react to annual earnings announcements for both types of firms in a similar way. Originality/Value ‒ This research is an attempt to evaluate the Islamic financial system from its trustworthiness perspective. Sufficient literature has already documented that being trustworthy is obligatory for Sharīʿah-compliant firms. This study contributes to the literature by examining whether the market/investors trust such firms or not. Research Limitations/Implications ‒ This research is based on a single-country analysis with a research span of one year. Cross-country analysis with a broader time horizon may give further clarity. Practical Implications ‒ This paper has made a valuable contribution to the literature by providing the guideline on how investors’ reactions to Sharīʿah-compliant firms differ from their reactions to Sharīʿah non-compliant firms. It also indicates how religious elements may subdue other social factors such as trust. This paper has also explored the market reaction by assessing both the liquidity and volatility of the stock market in Pakistan.

show abstract

“…Paul Samuelson and Eugene Fama developed the efficient market hypothesis in the 1960s. This theory stipulates all types of information are fully reflected in stock prices (Marwala et al, 2017). Stocks are accurately priced and will not be over or overvalued implying no investor can outwit the market (Wilkinson, 2013).…”

Section: Indicated Thementioning

confidence: 99%

Holistic Analysis of the Relationship Between Capital Structure and Stock Price of Consumer Staples

Michael,

Asare,

Emmanuel

et al. 2022

ijfirm

View full text Add to dashboard Cite

Purpose: This study seeks to assess how capital structure and stock price are related to Ghana's consumer staple sector. Design/methodology/approach: The Ghana Stock Exchange (GSE) has six consumer staple companies listed on it. The stock prices, equity values, debt values, market capitalization, and earnings per share of the listed consumer staple sector companies obtained from GSE were analyzed using Excel and SPSS. The result indicated that between 2011 and 2019, the companies recorded high mean equity value than mean debt value. The correlation analysis also suggested a weak relationship between capital structure and stock price. The fitted regression models suggested that capital structure is not a predictive variable for the stock price. Findings:The study discovered that consumer staple sector companies must pay much attention to the capital structure since it has a weak relationship with the stock price. Because its effect is not easily identified within a short period but accumulates over time which severely influences investors' decision. The study also observed that capital structure and stock price variations pose certain challenges to the companies. Practical implications: Financing decisions play a vital role in the management of firms. Two main funding options accessible by firms are equity and debt. Firms have the choice to go in for one or both funding options. Investors who patronize these stocks or shares gain interest in the performance of the firms' stocks. It is worth noting that equity and debt make up a firm's financing structure. Originality value: An optimal capital structure is obtained when a firm has the right combination of equity and debt. High debt brings about high-interest costs and tax savings due to the interest tax deductibility nature of the debt. High equity leads to loss of ownership control of the firm to shareholders who in turn have a significant influence on how businesses are run.

show abstract

Efficient Market Hypothesis

Cited by 8 publications

References 20 publications

Predicting Shariah Stock Market Indices with Machine Learning: A Cross-Country Case Study

Predicting Shariah Stock Market Indices with Machine Learning: A Cross-Country Case Study

Who Gets Believed? Trust and Investor Reaction to Earnings Announcements in Sharīʿah-Compliant vs. Sharīʿah Non-Compliant Firms

Holistic Analysis of the Relationship Between Capital Structure and Stock Price of Consumer Staples

Contact Info

Product

Resources

About