The efficient market hypothesis: problems with interpretations of empirical tests

Alajbeg, Denis; Bubaš, Zoran; Sonje, Velimir

doi:10.3326/fintp.36.1.3

Cited by 12 publications

(7 citation statements)

References 39 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The original theoretical formulation of the Efficient Market Hypothesis by Samuelson in 1965 (Alajbeg et al 2012) and its elaboration by Fama (1965) suggest that the stock price reflects all relevant information at the time they are created. Stock prices are accidental under "the random walk concept" developed by Bachelier (Malini 2019), which describes the movement of a variable in which future changes cannot be predicted because they are unsystematic.…”

Section: Efficient Marketmentioning

confidence: 99%

The Impact of Unsystematic Factors on Bitcoin Value

Merkaš

Roška

2021

JRFM

View full text Add to dashboard Cite

The results of empirical analyses confirm that analysed unsystematic factors, the Stock-to-Flow index (S2F), and information on the Bitcoin (BTC) are directly correlated with BTC values. These results are expected and in line with the economic theory; however, this research paper aimed to investigate the impact of unsystematic factors on the value of decentralised virtual cryptocurrency BTC. Its aim was also to analyse the reasons for significant oscillations of market values in relation to the S2F and S2FX model and thus confirm the reliability of these models in the estimation of BTC value. The research further confirms the strong influence of non-technical information directly linked with the BTC. The limitations of this paper are the lack of possibilities for examining the impact of non-technical information affecting the Bitcoin price deviation regarding the S2F model. In addition to all mentioned limitations, the research results indicate the relevance of the S2F and S2FX models and show a strong impact of (half) the information on the value of cryptocurrencies.

show abstract

Section: Efficient Marketmentioning

confidence: 99%

The Impact of Unsystematic Factors on Bitcoin Value

Merkaš

Roška

2021

JRFM

View full text Add to dashboard Cite

show abstract

“…Ever since, many studies have dealt with EMH in terms of both theoretical and empirical aspects. Jensen (1978), Fama (1991Fama ( , 1998, Lo (2007), and Alajbeg et al (2012) provide a good history of the evolution of the proponents and opponents of EMH.…”

Section: Efficient Markets Hypothesis and Joint Hypothesis Problemmentioning

confidence: 99%

Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric

Orbay¹,

Güllü²,

Hörmann³

2017

Wilmott

View full text Add to dashboard Cite

Choice of the performance metric is a crucial part of empirical assessment of option pricing model performance and benchmarking, mainly because the outcome is subject to change based on the metric. Usage of performance metrics in the empirical option pricing literature is examined and their agreement is assessed. We also propose new metrics based on market efficiency tests for more robust assessment and to eliminate the confusion of metric choice. We claim that efficiency metrics are the better choice if the objective is to evaluate option models with their financial outcome, not just price fitting.

show abstract

“…The efficient-market hypothesis [EMH], officially introduced by the American economist Fama [1970], has been a cornerstone for financial economics [Alajbeg, Bubas, and Sonje 2012] and plays a significant role in the area of accountancy, financial analysis and also portfolio management [Kothari 2001]. According to this hypothesis the market is efficient if its prices are formed on the basis of all available information.…”

Section: Literature Reviewmentioning

confidence: 99%

Testing the weak-form efficiency of agriculture’s capital markets

Ghimire¹,

Annussek²,

Harvey³

et al. 2016

EBR

View full text Add to dashboard Cite

The risk of the increasing divergence of the eurozone and the problem of macroeconomic imbalances in a three-gap model Jacek Pera Structural barriers to research and development activities in emerging markets Review, Vol. 2 (16), No. 2, 2016: 3-17 DOI: 10.18559/ebr.2016Thus 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.

show abstract

The efficient market hypothesis: problems with interpretations of empirical tests

Cited by 12 publications

References 39 publications

The Impact of Unsystematic Factors on Bitcoin Value

The Impact of Unsystematic Factors on Bitcoin Value

Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric

Testing the weak-form efficiency of agriculture’s capital markets

Contact Info

Product

Resources

About