The changing and relative efficiency of European emerging stock markets

Smith, Graham

doi:10.1080/1351847x.2011.628682

Cited by 81 publications

(68 citation statements)

References 30 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The 4 other Nordic markets, on the other hand, show results consistent with the Chow-Denning test which indicates weak-form stock market efficiency of the markets. These results are in line with Borges (2010) and Smith (2012) who also present evidence on the prevalence of weak-form efficiency in European stock markets. Ranking the markets in terms of weak-form market efficiency, the estimated results largely consistent with that of the ChowDenning tests and rank Denmark top as the most weak-form efficient market relative to the other Nordic countries.…”

Section: -Insert Table 3 Here-supporting

confidence: 93%

“…This supports Borges (2010) and Smith (2012) who report variation in weak-form efficiency in European stock markets.…”

Section: (Insert Table 6 Here)supporting

confidence: 88%

“…For that reason the less restrictive martingale hypothesis is more appropriate as it is also characterized by uncorrelated returns. Additionally it allows for dependence in higher moments and can, thus, be seen as a generalized version of the random walk hypothesis (see e.g., Smith, 2012). In this paper we test the martingale hypothesis in 5 Nordic stock markets.…”

Section: Methodsmentioning

confidence: 97%

“…Secondly, Smith (2012) presents results documenting departures from weak-form efficiency in a number of European markets, with the period coinciding with the recent global financial crisis. This observation, however, is not linked to any policy which we do in our study.…”

Section: Introductionmentioning

confidence: 98%

“…Kim and Shamsuddin (2008) andSmith (2012) provide an excellent review of past studies on stock market efficiency. Also see, for example,Lo and Mackinlay (1988) andChow and Denning (1993) for the US market;Alexeev and Tapon (2011) for the Canadian market; Worthington and Higgs 2003 for the developed and emerging markets; and Smith (2012) for the European market.…”

mentioning

confidence: 99%

See 4 more Smart Citations

Do capital controls affect stock market efficiency? Lessons from Iceland

Graham

Peltomäki

Sturludóttir

2015

International Review of Financial Analysis

View full text Add to dashboard Cite

Section: -Insert Table 3 Here-supporting

confidence: 93%

“…This supports Borges (2010) and Smith (2012) who report variation in weak-form efficiency in European stock markets.…”

Section: (Insert Table 6 Here)supporting

confidence: 88%

Section: Methodsmentioning

confidence: 97%

Section: Introductionmentioning

confidence: 98%

mentioning

confidence: 99%

See 3 more Smart Citations

Do capital controls affect stock market efficiency? Lessons from Iceland

Graham

Peltomäki

Sturludóttir

2015

International Review of Financial Analysis

View full text Add to dashboard Cite

The Relative Predictability of Stock Markets in the Americas

Smith

Dyakova

2015

Int. J Fin Econ

Self Cite

View full text Add to dashboard Cite

The degree of return predictability is measured for seven Latin American stock markets and those in Canada and the United States using three finite‐sample variance ratio tests. Daily data for the period beginning in February 1994 and ending in December 2011 are used in a fixed‐length rolling window to capture short‐lived predictability, track changes in predictability through time and rank markets by relative predictability. Overall, the degree of return predictability varies widely. The most predictable are those located in Chile and Peru; the least predictable are in Argentina and Brazil. Predictability has decreased for all of those stock markets examined, except those located in Ecuador and the United States. Predictability largely coincides with times of crisis. Copyright © 2015 John Wiley & Sons, Ltd.

show abstract

High‐frequency trading from an evolutionary perspective: Financial markets as adaptive systems

2018

View full text Add to dashboard Cite

The recent rapid growth of algorithmic high‐frequency trading strategies makes it a very interesting time to revisit the long‐standing debates about the efficiency of stock prices and the best way to model the actions of market participants. To evaluate the evolution of stock price predictability at the millisecond timeframe and to examine whether it is consistent with the newly formed adaptive market hypothesis, we develop three artificial stock markets using a strongly typed genetic programming (STGP) trading algorithm. We simulate real‐life trading by applying STGP to millisecond data of the three highest capitalized stocks: Apple, Exxon Mobil, and Google and observe that profit opportunities at the millisecond time frame are better modelled through an evolutionary process involving natural selection, adaptation, learning, and dynamic evolution than by using conventional analytical techniques. We use combinations of forecasting techniques as benchmarks to demonstrate that different heuristics enable artificial traders to be ecologically rational, making adaptive decisions that combine forecasting accuracy with speed.

show abstract

The changing and relative efficiency of European emerging stock markets

Cited by 81 publications

References 30 publications

Do capital controls affect stock market efficiency? Lessons from Iceland

Do capital controls affect stock market efficiency? Lessons from Iceland

The Relative Predictability of Stock Markets in the Americas

High‐frequency trading from an evolutionary perspective: Financial markets as adaptive systems

Contact Info

Product

Resources

About