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
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
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.
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.
