scholarly journals An approach of spectrum analysis to the stock prediction

2020 ◽  
Author(s):  
James L. Luo
Keyword(s):  
Game Theory ◽  
Asymmetric Information ◽  
Capital Markets ◽  
Spectrum Analysis ◽  
Efficient Market Hypothesis ◽  
Human Action ◽  
Efficient Market ◽  
New Approach ◽  
Validity Test ◽  
Lot Sizes

This article constructs a brand new approach to the prediction of capital markets in the perspective of Volume Spectrum Analysis (VSA). Unlike all traditional financial theories, the model of VSA features volume rather than price and focuses on its inner structure, i.e. the distribution of lot sizes that reveals asymmetric information in trading, which rejects the assumption of perfect information in Efficient Market Hypothesis (EMH) and makes the validity test possible. The flaw of modern finance, that is, taking the normality of price changes for granted, and those of other solutions such as game theory, are investigated to show why it is only VSA that may capture the essence of human action in capital markets.

scholarly journals Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 707
Author(s):  
Claudiu Tiberiu Albulescu ◽  
Aviral Kumar Tiwari ◽  
Phouphet Kyophilavong
Keyword(s):  
Capital Markets ◽  
Stock Markets ◽  
Transition Period ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Eastern European ◽  
Price Behavior ◽  
Financial Systems ◽  
Efficient Market ◽  
Level Of Significance

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

scholarly journals Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis

2019 ◽  
Vol 12 (2) ◽  
pp. 97 ◽  
Author(s):  
Qianwei Ying ◽  
Tahir Yousaf ◽  
Qurat ul Ain ◽  
Yasmeen Akhtar ◽  
Muhammad Shahid Rasheed
Keyword(s):  
Capital Markets ◽  
Stock Prices ◽  
Intrinsic Value ◽  
Efficient Market Hypothesis ◽  
Investment Strategies ◽  
Excess Returns ◽  
Efficient Market ◽  
Market Anomalies ◽  
Replication Studies ◽  
Stock Investment

The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excess returns; however, thus far, market anomalies have been witnessed and stock prices have diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the efficient market. Moreover, the market efficiency progression is reviewed and its present status is explored. Finally, the authors provide enough evidence of a data snooping issue, which violates and challenges the existing proof and creates room for replication studies in modern finance.

An extended list of calendar anomalies in the context of the efficient market hypothesis

2021 ◽  
Vol 93 (2) ◽  
pp. 89-101
Author(s):  
Marcin Fuksiewicz
Keyword(s):  
Capital Markets ◽  
Foreign Capital ◽  
Efficient Market Hypothesis ◽  
Commodity Markets ◽  
Short Term ◽  
Efficient Market ◽  
Monday Effect ◽  
The Usa ◽  
Calendar Anomalies ◽  
Phases Of The Moon

The efficient market hypothesis is commonly tested mainly with regard to capital markets, but it has also been applied to currency and commodity markets. Although the theory has been used to confirm that different markets vary in their effectiveness, certain cyclical anomalies can be observed in these markets. Particularly noteworthy are calendar anomalies, which can be used to develop investment methods and procedures. In addition to commonly known anomalies, such as the January or the December Effect, or short-term ones, like the Friday or Monday Effect, there are many others that are largely unknown in Poland, such as those related to the Presidential Election Cycle in the USA or very short-lived ones, associated with individual hours of investing in a trading session. The aim of the article is to present a possibly complete list of calendar anomalies recognized in foreign capital markets, but largely unknown in Poland, such as short-lived anomalies and exotic ones (e.g. related to phases of the moon).

Transparency — An Empirical Study Using Taiwan Stock Exchange Data

2006 ◽  
Vol 09 (01) ◽  
pp. 129-147 ◽  
Author(s):  
Chiou-Fa Lin
Keyword(s):  
Asymmetric Information ◽  
Empirical Study ◽  
Market Efficiency ◽  
Capital Markets ◽  
Stock Exchange ◽  
Movement Direction ◽  
Efficient Market ◽  
Taiwan Stock Exchange ◽  
Trading Mechanism ◽  
Exchange Data

Understanding the impacts of transparency in capital markets is important for determining the trading mechanism and for evaluating market efficiency and market fairness. The recent reforms covering trade transparency on the Taiwan Stock Exchange give us an opportunity to address and examine the relevant arguments. Evidence from this study indicates that increasing trade transparency may create a more efficient market due to decreased effective spreads compared with before the event. Asymmetric information also declines after transparency is liberalized. However, the movement direction of the realized spread does not seem obvious or pronounced. The implication from our results is that the exact effects from trade transparency may be dependent on the stock market's structure itself.

scholarly journals THE EFFICIENT MARKET HYPOTHESIS: A CRITICAL REVIEW OF LITERATURE AND METHODOLOGY

Ekonomika ◽  
2014 ◽  
Vol 93 (2) ◽  
pp. 7-23 ◽  
Author(s):  
Augustas Degutis ◽  
Lina Novickytė
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Capital Markets ◽  
Intrinsic Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Current Status ◽  
Efficient Market ◽  
Baltic Countries ◽  
The Baltic

The development of the capital markets is changing the relevance and empirical validity of theefficient market hypothesis. The dynamism of capital markets determines the need for efficiency research. The authors analyse the development and the current status of the efficient market hypothesis with an emphasis on the Baltic stock market. Investors often fail to earn an excess profit, but yet stock market anomalies are observed and market prices often deviate from their intrinsic value. The article presents an analysis of the concept of efficient market. Also, the market efficiency evolution is reviewed and its current status is analysed. This paper presents also an examination of stock market efficiency in the Baltic countries. Finally, the research methods are reviewed and the methodology of testing the weak-form efficiency in a developing market is suggested. 

scholarly journals KETERBUKAAN INFORMASI UU PASAR MODAL MENCIPTAKAN ASYMMETRIC INFORMATION DAN SEMI STRONG FORM

2021 ◽  
Vol 50 (1) ◽  
pp. 106-118
Author(s):  
Suwinto Johan ◽  
Ariawan Ariawan
Keyword(s):  
Asymmetric Information ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Efficient Market

Sebuah pasar modal digolongkan sebagai pasar yang efisien atau akurat jika informasi yang ada di bursa tersebut terbuka dan diketahui oleh semua pelaku secara merata. Undang Undang No. 8 Tahun 1995 mewajibkan keterbukaan informasi material dengan jangka waktu maksimal 2 hari kerja setelah adanya informasi yang material. Penelitian ini bertujuan untuk meneliti keterkaitan antara kewajiban keterbukaan informasi material dengan mewujudkan pasar modal yang efisien berdasarkan Efficient Market Hypothesis. Penelitian ini menggunakan metode yuridis normatif. Penelitian ini menemukan bahwa kewajiban pelaporan maksimal 2 hari kerja akan mengakibatkan keterlambatan informasi bagi pelaku pasar modal. Pasar modal yang tidak efisien tidak akan membuat pengembalian yang optimal. Pengaturan mengenai pelaporan informasi yang material perlu dirubah.

Behavioral Finance in Theory and Practice

2014 ◽  
pp. 254-271
Author(s):  
Mustafa Okur ◽  
A. Osman Gurbuz
Keyword(s):  
Financial Markets ◽  
Behavioral Finance ◽  
Psychological Factors ◽  
Rational Expectations ◽  
Main Idea ◽  
Efficient Market Hypothesis ◽  
Theory And Practice ◽  
Efficient Market ◽  
New Approach ◽  
Finance Theory

Behavioral finance is a new approach in finance literature. The main idea is that investors are not as rational as they are assumed to be. Therefore, financial markets could be better understood by using models that capture the effects of both rational and irrational investors. The critics of behavioral finance could be grouped into two main categories: limits of arbitrage and psychological factors. This chapter concentrates on both challenges and possible contributions of behavioral finance theory to the modern finance theory, which is mainly based on rational expectations theory and efficient market hypothesis.

scholarly journals Regression Towards The Mean Versus Efficient Market Hypothesis: An Empirical Study

2011 ◽  
Vol 4 (12) ◽  
Author(s):  
H. Francis Bush ◽  
Michael D. Canning
Keyword(s):  
Empirical Study ◽  
Market Efficiency ◽  
Capital Markets ◽  
Efficient Market Hypothesis ◽  
Font Size ◽  
Efficient Market ◽  
The Mean ◽  
Fortune Magazine ◽  
Regression Towards The Mean

<p class="MsoNormal" style="text-align: justify; margin: 0in 31.2pt 0pt 0.5in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study investigates the dominance of the statistical phenomenon, regression towards the means, against the market efficiency of capital markets.<span style="mso-spacerun: yes;">&nbsp; </span>Using Fortune Magazine&rsquo;s ranking of America&rsquo;s most admired companies to distinguish positive from negative firms, and using the Standard and Poor Index as a surrogate for market, the authors demonstrated that: (1) a portfolio of least admired forms will outperform a portfolio of most admired firms, (2) a portfolio of most admired firms will outperform the market, and (3) a portfolio of least admired firms will outperform the market.</span></span></p>

scholarly journals STUDI KOMPARATIF THE DAY OF THE WEEK EFFECT DAN THE MONTH OF THE YEAR EFFECT DALAM PEROLEHAN RETURN SAHAM DI BURSA EFEK INDONESIA PADA PERUSAHAAN LQ 45 PERIODE FEBRUARI 2017-JANUARI 2018

2019 ◽  
Author(s):  
Komang Agus Rudi Indra Laksmana
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Anomalous Effect ◽  
Year Effect ◽  
Day Of The Week ◽  
Market Anomaly

The concept of the efficient capital markets has become a topic of debate is fascinating and quite controversial in the field of finance. Since the introduction his the efficient market hypothesis, comes a variety of behavior of irregularity or discrepancy in the capital markets. Irregularity is referred to as a market anomaly (market anomaly). The Market anomaly that became a lot of attention is the anomalous effect of calendar. These anomalies are the day of the week effect and the month of the year effect. This research was conducted due to the results of several studies that are not consistent on the day of the week effect and the month of the year effect in obtaining the return of shares in Indonesia stock exchange.

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