The efficient market hypothesis is one of the most important theories in finance.According to this hypothesis,in a stock market with sound laws,good functions,high transparencies,and extensive competitions,all valuabl...The efficient market hypothesis is one of the most important theories in finance.According to this hypothesis,in a stock market with sound laws,good functions,high transparencies,and extensive competitions,all valuable information is timely,accurately,and fully reflected in the trend of stock prices including the current and future values of enterprises.Unless there are market manipulations,it would be impossible for investors to gain more above the average profits in the market by analyzing former prices.Since the efficient market hypothesis has been introduced,it has become an interest in the empirical research of the security market.It is one of the most controversial investment theories and there are many evidences supporting and also opposing this hypothesis.Nevertheless,this hypothesis still holds an important status in the basic framework of mainstream theories in modem financial markets.By analyzing simulated investment transactions in regard to stock trading of three different enterprises,this paper verified that the efficient market hypothesis is partially valid.展开更多
This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies(Bitcoin,Ethereum,and Ripple),gold,and West Texas Intermediate(WTI)crude oil.The data cov...This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies(Bitcoin,Ethereum,and Ripple),gold,and West Texas Intermediate(WTI)crude oil.The data coverage of daily returns was from August 2015 to April 2019.We applied two alternative tests to examine linear and nonlinear dependency,i.e.,automatic portmanteau and generalized spectral tests.The analysis of observed results validated the adaptive market hypothesis(AMH)in all markets,but the degree of adaptability between the data was different.In this study,we also analyzed the existence of evolutionary behavior in the market.To achieve this goal,we checked the results by applying the rolling-window method with three different window lengths(50,100,and 150 days)on the test statistics,which was consistent with the findings of AMH.展开更多
Market efficiency is based on efficient market hypothesis （EMH）. EMH claims that market totally contains the available information. In case of EMH, valid investors who take position will not gain abnormal profits. I...Market efficiency is based on efficient market hypothesis （EMH）. EMH claims that market totally contains the available information. In case of EMH, valid investors who take position will not gain abnormal profits. If the efficiency can not be established, that is, if markets are not efficient, investors will have the opportunity of abnormal profits. This paper investigates the causality relations to determine validity of EMH among G7 （Canada, France, Germany, Italy, Japan, United Kingdom, and United States） countries＇ stock exchange markets for the period from July 2003 to October 2014. To find out whether the variables cause each other or not provides knowledge about the market efficiency. The implication of this analysis is twofold. One implication is that if the markets are informationally efficient, the possibility of abnormal returns through arbitrage is ruled out and investors can reduce the risk of their investment for the same expected returns, if they establish portfolios that consist of both markets rather than consisting of only one market. Based on this, Hacker-Hatemi-J. bootstrap causality test that is newer and has many advantages contrary to other tests was used. Results showed that EMH is valid among each G7 countries＇ stock exchange markets. Also portfolio diversification benefits exist among these markets.展开更多
Unlike the European Union emission trade system(EU ETS), China s pilot ETSs implemented diversified policy designs instead of using a uniform framework. Variance ratio test is used to evaluate the Efficient Market Hyp...Unlike the European Union emission trade system(EU ETS), China s pilot ETSs implemented diversified policy designs instead of using a uniform framework. Variance ratio test is used to evaluate the Efficient Market Hypothesis(EMH) in China's carbon trading markets. The results of two versions of variance ratio tests indicate that the carbon trading market in Hubei is considered weak form efficient, and the socialist market economy does not necessarily lead to market inefficiency in carbon trading markets. Thin trading activities generate market frictions and bias the Efficient Market Hypothesis(EMH) tests.展开更多
In this paper,using data for the Bist 100 index,we investigate the presence of nonlinearities by employing several nonlinearity tests.The Brock,Dechert,and Scheinkman(BDS)and runs tests were first applied to the serie...In this paper,using data for the Bist 100 index,we investigate the presence of nonlinearities by employing several nonlinearity tests.The Brock,Dechert,and Scheinkman(BDS)and runs tests were first applied to the series to show an initial indication of nonlinearity.The findings for the BDS and runs test of randomness were followed by other sets of direct nonlinearity tests developed by White(1989),Terasvirta(1993),Keenan(1985),and Tsay(1986).Also,the Threshold Autoregression(TAR)test is employed as a final test to confirm the existence of nonlinearity in the Turkish stock exchange market.From the results of the nonlinearity test,it is concluded that the Bist 100 index is characterised by the presence of nonlinearities and cycles.This finding is in contrast with the efficient market hypothesis(EMH)implying that the Turkish stock exchange market is inefficient.展开更多
The Efficient Markets Hypothesis(EMH)is the focusing topic in the past 50 years of financial market researches.Many empirical studies are then provided that want to test EMH but have no consensus.The perception of EMH...The Efficient Markets Hypothesis(EMH)is the focusing topic in the past 50 years of financial market researches.Many empirical studies are then provided that want to test EMH but have no consensus.The perception of EMH determines the attitude and strategy of participants and regulators in financial market.One perception of EMH argues that investors’behavior of seeking abnormal profits and arbitrage drives prices to their“correct”value.Investigating the“correct”value derives the concept of“market indeterminacy”.It means the inability to determine whether stock prices are efficient or inefficient.Market indeterminacy pervades stock markets because“correct”prices are unknown because of imperfect information and model sensitivity.Market indeterminacy makes arbitrage risky and makes event studies unreliable in some policy and litigation applications.The concept of market efficiency is needed to be re-recognized considering the mechanism of price formation.In order to further research and practice in law and financial market,there needs a view from the“jumping together”of disparate disciplines.Adaptive Markets Hypothesis(AMH)that using the evolutionary principles in financial market is a new viewpoint on cognitive decision and deserves to be paid more attention to.展开更多
Prediction of stock market value is highly risky because it is based on the concept of Time Series forecasting system that can be used for investments in a safe environment with minimized chances of loss.The proposed ...Prediction of stock market value is highly risky because it is based on the concept of Time Series forecasting system that can be used for investments in a safe environment with minimized chances of loss.The proposed model uses a real time dataset offifteen Stocks as input into the system and based on the data,predicts or forecast future stock prices of different companies belonging to different sectors.The dataset includes approximatelyfifteen companies from different sectors and forecasts their results based on which the user can decide whether to invest in the particular company or not;the forecasting is done for the next quarter.Our model uses 3 main concepts for forecasting results.Thefirst one is for stocks that show periodic change throughout the season,the‘Holt-Winters Triple Exponential Smoothing’.3 basic things taken into conclusion by this algorithm are Base Level,Trend Level and Seasoning Factor.The value of all these are calculated by us and then decomposition of all these factors is done by the Holt-Winters Algorithm.The second concept is‘Recurrent Neural Network’.The specific model of recurrent neural network that is being used is Long-Short Term Memory and it’s the same as the Normal Neural Network,the only difference is that each intermediate cell is a memory cell and retails its value till the next feedback loop.The third concept is Recommendation System whichfilters and predict the rating based on the different factors.展开更多
文摘The efficient market hypothesis is one of the most important theories in finance.According to this hypothesis,in a stock market with sound laws,good functions,high transparencies,and extensive competitions,all valuable information is timely,accurately,and fully reflected in the trend of stock prices including the current and future values of enterprises.Unless there are market manipulations,it would be impossible for investors to gain more above the average profits in the market by analyzing former prices.Since the efficient market hypothesis has been introduced,it has become an interest in the empirical research of the security market.It is one of the most controversial investment theories and there are many evidences supporting and also opposing this hypothesis.Nevertheless,this hypothesis still holds an important status in the basic framework of mainstream theories in modem financial markets.By analyzing simulated investment transactions in regard to stock trading of three different enterprises,this paper verified that the efficient market hypothesis is partially valid.
文摘This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies(Bitcoin,Ethereum,and Ripple),gold,and West Texas Intermediate(WTI)crude oil.The data coverage of daily returns was from August 2015 to April 2019.We applied two alternative tests to examine linear and nonlinear dependency,i.e.,automatic portmanteau and generalized spectral tests.The analysis of observed results validated the adaptive market hypothesis(AMH)in all markets,but the degree of adaptability between the data was different.In this study,we also analyzed the existence of evolutionary behavior in the market.To achieve this goal,we checked the results by applying the rolling-window method with three different window lengths(50,100,and 150 days)on the test statistics,which was consistent with the findings of AMH.
文摘Market efficiency is based on efficient market hypothesis （EMH）. EMH claims that market totally contains the available information. In case of EMH, valid investors who take position will not gain abnormal profits. If the efficiency can not be established, that is, if markets are not efficient, investors will have the opportunity of abnormal profits. This paper investigates the causality relations to determine validity of EMH among G7 （Canada, France, Germany, Italy, Japan, United Kingdom, and United States） countries＇ stock exchange markets for the period from July 2003 to October 2014. To find out whether the variables cause each other or not provides knowledge about the market efficiency. The implication of this analysis is twofold. One implication is that if the markets are informationally efficient, the possibility of abnormal returns through arbitrage is ruled out and investors can reduce the risk of their investment for the same expected returns, if they establish portfolios that consist of both markets rather than consisting of only one market. Based on this, Hacker-Hatemi-J. bootstrap causality test that is newer and has many advantages contrary to other tests was used. Results showed that EMH is valid among each G7 countries＇ stock exchange markets. Also portfolio diversification benefits exist among these markets.
基金supported by National Social Science Fund Project[grant Number:15ZDA015]Ministry of Education Research Project[grant Number:16JJD790018]
文摘Unlike the European Union emission trade system(EU ETS), China s pilot ETSs implemented diversified policy designs instead of using a uniform framework. Variance ratio test is used to evaluate the Efficient Market Hypothesis(EMH) in China's carbon trading markets. The results of two versions of variance ratio tests indicate that the carbon trading market in Hubei is considered weak form efficient, and the socialist market economy does not necessarily lead to market inefficiency in carbon trading markets. Thin trading activities generate market frictions and bias the Efficient Market Hypothesis(EMH) tests.
文摘In this paper,using data for the Bist 100 index,we investigate the presence of nonlinearities by employing several nonlinearity tests.The Brock,Dechert,and Scheinkman(BDS)and runs tests were first applied to the series to show an initial indication of nonlinearity.The findings for the BDS and runs test of randomness were followed by other sets of direct nonlinearity tests developed by White(1989),Terasvirta(1993),Keenan(1985),and Tsay(1986).Also,the Threshold Autoregression(TAR)test is employed as a final test to confirm the existence of nonlinearity in the Turkish stock exchange market.From the results of the nonlinearity test,it is concluded that the Bist 100 index is characterised by the presence of nonlinearities and cycles.This finding is in contrast with the efficient market hypothesis(EMH)implying that the Turkish stock exchange market is inefficient.
文摘The Efficient Markets Hypothesis(EMH)is the focusing topic in the past 50 years of financial market researches.Many empirical studies are then provided that want to test EMH but have no consensus.The perception of EMH determines the attitude and strategy of participants and regulators in financial market.One perception of EMH argues that investors’behavior of seeking abnormal profits and arbitrage drives prices to their“correct”value.Investigating the“correct”value derives the concept of“market indeterminacy”.It means the inability to determine whether stock prices are efficient or inefficient.Market indeterminacy pervades stock markets because“correct”prices are unknown because of imperfect information and model sensitivity.Market indeterminacy makes arbitrage risky and makes event studies unreliable in some policy and litigation applications.The concept of market efficiency is needed to be re-recognized considering the mechanism of price formation.In order to further research and practice in law and financial market,there needs a view from the“jumping together”of disparate disciplines.Adaptive Markets Hypothesis(AMH)that using the evolutionary principles in financial market is a new viewpoint on cognitive decision and deserves to be paid more attention to.
文摘Prediction of stock market value is highly risky because it is based on the concept of Time Series forecasting system that can be used for investments in a safe environment with minimized chances of loss.The proposed model uses a real time dataset offifteen Stocks as input into the system and based on the data,predicts or forecast future stock prices of different companies belonging to different sectors.The dataset includes approximatelyfifteen companies from different sectors and forecasts their results based on which the user can decide whether to invest in the particular company or not;the forecasting is done for the next quarter.Our model uses 3 main concepts for forecasting results.Thefirst one is for stocks that show periodic change throughout the season,the‘Holt-Winters Triple Exponential Smoothing’.3 basic things taken into conclusion by this algorithm are Base Level,Trend Level and Seasoning Factor.The value of all these are calculated by us and then decomposition of all these factors is done by the Holt-Winters Algorithm.The second concept is‘Recurrent Neural Network’.The specific model of recurrent neural network that is being used is Long-Short Term Memory and it’s the same as the Normal Neural Network,the only difference is that each intermediate cell is a memory cell and retails its value till the next feedback loop.The third concept is Recommendation System whichfilters and predict the rating based on the different factors.
