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Financial markets are complex systems. Even with the prudent notion of inefficiency pockets, the efficient market hypothesis (EMH) is incapable to cope with the possible consequences of complexity in the relationship between information, price and value. Despite savant and sophisticated negative heuristics, the EMH can no longer provide sufficient theoretical conditions to consider the presence of market phases that are reconcilable with it. In other words, market patterns cannot be considered ‘accidental’ effects and/or even be caused by a criterion that is linked to informational inefficiency. This paper shows that markets could behave independently of the concepts and terminology of the EMH, and that computational irreducibility found in complex systems demonstrates its invalidity. As a principle, autonomous price patterns can emerge out of complexity, and this reduces the meaning of the concepts of efficiency or inefficiency, interrogates the causality of the relationship between information and price, and questions the univocity of the relationship between value and price. Since such patterns have been observed and reported abundantly in technical analysis literature, they are to be considered as the outcome of complexity at work. Therefore, in a more sophisticated approach of both uncertainty and determinism, forecasting price behavior is an essential possibility of complexity at work and this consideration may lead to a renewed approach of appraising risks.

The main objective of this research article is to investigate the concept of inefficient stock markets and their implications in the context of extreme financial events. The presence of correlations in the case of financial asset returns may be caused by a partial incorporation of information which generates a certain predictability of the stock markets behaviour. In other words, this aspect explains the inefficiency of the stock markets. This research paper also examined the impact of investment strategies based on international portfolio diversification. Moreover, in the context of market inefficiency, we analyzed the concept of Adjusted Market Inefficiency Magnitude (AMIM). [ABSTRACT FROM AUTHOR]

Fractal Market Hypothesis was developed as an alternative to Efficient Market Hypothesis, as it encompassed liquidity as a determinant factor for price. R/S Analysis is a robust tool for testing whether a historical price series, for certain time interval, follows a brownian motion or there is some memory effect over it. Determining the Hurst exponent for company ALRO S.A., for a the period of time since listing, until 16/07/2021 was the aim of this paper. Values obtained for Hurst exponent applied on the time series of ALRO S.A offer precise information about the presence of the memory effect inside the stock market. As a conclusion, as Alro S.A. is one of the most representative stocks traded at Bucharest Stock Exchange, Romanian capital market has evolved from a very low stability market to a more stable investment environment. [ABSTRACT FROM AUTHOR]

Stock market efficiency has been one of the most investigated topics of the last century. Knowing the efficiency of a market has major implications for both investors and policymakers, as a perfectly efficient market eliminates any arbitrage opportunity and the possibility of actually beating the market. For this reason, this study aims to examine the weak-form market efficiency of the European energy markets using linear and nonlinear unit root tests for the period covering February 2012 to April 2021. The results indicated that while the Augmented Dickey–Fuller test captured the stationarity in only Austria's Oil, and Gas index, using nonlinear tests showed stationarity in 17 of the 20 indices tested. Overall, the European Energy Market can be considered inefficient under the weak form of the Efficient Market Hypothesis. Therefore, there is an indication of profitable arbitrage opportunities among energy stocks. Signs of stationarity also suggest that shocks to energy stocks will have temporary effects. Energy markets of Austria, Finland, France, Greece, Italy, Netherlands, Russia, Spain, Sweden, and the United Kingdom, for this reason, could benefit from policy changes to support increased information flow to achieve more transparency and utilize better trading technologies. [ABSTRACT FROM AUTHOR]

This study was conducted with the aim of showing the importance of fundamental analysis in valuing the companies in the medical sector, listed on Frankfurt Stock Exchange. The analysis period is 2008-2019 and the sample consists of 24 companies. As a result of the econometric modelling, it has emerged that fundamental analysis is a decisive one in the evolution of the market price of the companies listed on the German capital market, identifying indicators that have a positive and strong influence on the market value of companies, such as ROE and P/B ratio, and other indicators that exert a negative influence, such as indebtedness ratio and PER. [ABSTRACT FROM AUTHOR]

Failure of classical statistical methods to model the behavior of stock market prices determined, in a domino effect, the failure of the classical paradigm of regarding markets as efficient systems. Alternative to this simple interpretation, markets should be regarded as far from equilibrum dynamical systems, complex evolving structures that encompass millions of participants, holding into their memory events that happened long time ago. This more realistic approach was developed by Fractal Market Hypothesis, as an alternative to Efficient Market Hypothesis. R/S Analysis is a robust tool for testing whether markets follow a Brownian motion or some memory effect is implied. The aim of the paper is to determine the Hurst Exponent, for company ALRO S.A., for the period of time since listing, until 16/07/2021. Results may generate indications about in the nature of the system represented by the prices of ALRO S.A. Conclusion may be that the Romanian capital market, as ALRO is one of the most representative companies listed at Bucharest Stock Exchange, has evolved from a very low stability market to a more stable investment environment. [ABSTRACT FROM AUTHOR]

The purpose of this study is to determine if the capital markets of fourteen European countries are efficient or not. Additionally, we examine the impact of VIX and GEPU returns on the market efficiency of the analyzed capital markets. We apply the Augmented Dickey-Fuller (ADF) test and Threshold GARCH (TGARCH) Model. The period under examination is 2003-2016. Our results show that the explored European markets are highly integrated, and in the context of the Efficient Market Hypothesis (EMH), a division along the line of the developed-developing market has been revealed. The Bulgarian capital market shows a strong degree of integration with the other explored economies in the conditions of EMH. The efficiency of the explored markets is improved by adding to the model VIX and GEPU returns. We prove that diversification can be achieved based on emerging markets of the EU Member States. Prolonged periods of low volatility can further reduce correlations, encouraging further risk-taking. [ABSTRACT FROM AUTHOR]

This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate. An argument is put forward, based on the efficient market hypothesis, why a proper risk-adjusted discount rate should enter into the Black-Scholes model instead of the risk-free rate. The resulting pricing equation for derivatives and, in particular, the formula for European call options is then shown to depend explicitly on the drift of the underlying asset, which is following a geometric Brownian motion. It is conjectured that with the generalized model, the predicted results by the model could be closer to real data. The adjusted pricing model could partly also explain the mystery of volatility smile. The present model also provides answers to many finance professionals and academics who have been intrigued by the risk-neutral features of the original Black-Scholes pricing framework. The model provides generally different fair values for financial derivatives compared to the Black-Scholes model. In particular, the present model predicts that the original Black-Scholes model tends to undervalue for example European call options.

Market surveillance systems (MSSs) are information systems that monitor financial markets to combat market abuses. Existing MSSs focus mainly on analyzing trading activities and are often developed through a trial-and-error approach by screening data mining algorithms and features. The void of theoretical direction limits the effectiveness of MSSs and calls for the development of a design theory based on a thorough examination of the meta-requirements of MSSs. Based on the efficient market hypothesis and text understanding theory, this paper argues that market information analysis should be incorporated into MSSs and commonsense knowledge should be employed to connect related events to transactions and provide reference concepts for understanding market context and assessing transaction risk. We show the effectiveness of this proposed design theory through developing and evaluating a prototype system in the context of a real-world stock exchange market. By taking a theory-driven approach, this research shows the possibility and provides guidelines on the use of market information analysis to alleviate the market surveillance problem, which has significant implications for financial markets and the economy given the explosive growth of illegal trading activities worldwide. [ABSTRACT FROM AUTHOR]

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.

The Efficient Market Hypothesis (EMH) can be considered the central pillar of support of the Modern Economic-Financial Theory. However, in the last few years, the EMH has been strongly contraried due to empirical evidence related to long-memory, fractal dimension and fat-tailed that were critical factors in formulating a theory opposed to EMH called Fractal Market Hypothesis (FMH). The purpose of this paper is to test the weak form of EMH for nine constituent assets of the Ibovespa index based on the Multifractal Detrended Fluctuations Analysis (MF-DFA). Our findings show overall scaling behavior approaching the uncorrelated regime, a lower degree of multifractality, the dominance of high fractal exponents, and a broad probability density function as the source of multifractality. Given this, Brazilian assets satisfied the EMH in the Fama's sense because the multifractal properties inherent of time series returns for Brazilian assets tend to follow a random walk. [ABSTRACT FROM AUTHOR]

Differentiating and defining games of skill versus chance have major legal implications when classifying gambling, especially in relation to daily fantasy sports in the United States. This paper provides a theoretical discussion and introduces an empirical approach to analyzing game player pricing mechanisms. If game pricing mechanisms are fully efficient--player prices fully reflect the expected contributions from players--then that game is one of chance since there is no opportunity for skill to play a role in outcomes. This paper examines player prices from DraftKings' daily fantasy football product. Empirical results show that there are strategies deriving from the pricing mechanism that can be incorporated by skilled participants to increase their expected performance and improve their chances of winning. This provides evidence that daily fantasy sports are skill-based--a necessary condition for skill to be a predominant factor in game outcomes as part of the legal debate. [ABSTRACT FROM AUTHOR]

An efficient capital market should be such that the market prices of the instruments fully reflect the economic fundamentals of the issuers of the instruments. The concept of market efficiency is very crucial for investors as it allows them to make more sensible choices. This paper attempts to explore the efficiency of the Dhaka Stock Exchange (DSE) in the weak form using the random walk model of Efficient Market Hypothesis (EMH) on daily return data for stock prices. The study applies both non-parametric test, i.e. runs test and parametric test, i.e. autocorrelation test, variance ratio test on All Share Price Index, DSE General Index, and DSE Broad Index and covers the period from January 1, 1993, to June 30, 2015. The results of the runs test show that none of the three indices follow the random walk. While returns on the DSE broad index show little evidence in favor of randomness by the autocorrelation test and the DSE general index support some signs of efficiency by the variance ratio tests under both homoskedastic and heteroskedastic assumptions. Besides, returns of 50 individual companies are also considered to test the market efficiency of the DSE at the company level. The results also confirm that price changes of most of these companies are not random which broadly implies that the returns of the companies do not follow the weak form of efficiency. Therefore, the overall results of the study show inefficiency of DSE in the weak form which implies that daily changes in stock prices reflect past prices, suggesting that investors can predict future stock prices to a great extent using past price patterns and can often earn an abnormal profit. The study tested for market efficiency for both before and after some policy initiatives like policy steps after the bubble-bust in December 2010, exchanges demutualization, and installation of surveillance software. But it appears that these policy reforms did not make any significant contribution towards stock market efficiency. Therefore, the authority should emphasize a policy of timely disclosure and the dissemination of financial and non-financial information to the investors regarding the performance of listed companies to enhance transparency which may contribute to the efficiency of the market. [ABSTRACT FROM AUTHOR]

Copyright of Revista Producao Online is the property of Associacao Brasileira de Engenharia de Producao and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Definition: The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess risk. [ABSTRACT FROM AUTHOR]

Market efficiency has been a hot pursuit of researchers in the area of financial markets. In both developed and developing countries inquiries have been made to test the existence of the three forms of market efficiency. Moreover, the results are different for developing countries as compared to developed countries. For example, in developed countries markers have been consistently found to exhibit weak form of efficiency, however, they have only occasionally been found to exhibit semistrong form of efficiency, and have hardly been found to exhibit strong form of efficiency. The case of developing is difference as they have only occasionally been found to exhibit Market efficiency weak-form of efficiency only. This study has, therefore, been conducted to test the existence of weak-form of efficiency in Pakistan stock market. For that purpose, statistical tests such as runs, test, auto-correlation test, and the Box-Ljung Statistics were employed. It was found that none of the tests confirmed the existence of weak-form of efficiency in Pakistan stock market. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Management & Economics Research is the property of Journal of Management & Economics Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Economics & Research (JER) is the property of Journal of Economics & Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper analyses the response of stock markets to vaccine availability. The objective of this paper is to examine the differential effect of information about the arrival of COVID vaccine on the stock price performance of five main global stock market indexes. The paper relies on the prior theory of Efficient Market Hypotheses (EMH). Data on stock price performance, seven months before vaccine arrival, and seven months within the vaccination period were from Trading Economics stock indexes archives for five main market indexes namely (Dow Jones, Shanghai, S&P, FTSE, and EURONEXT). The data were analysed using the t-test of mean difference in stock prices before and during vaccine at 5% alpha level. Results for the five indexes analysis show that stock prices during the arrival of vaccine significantly outweigh the stock prices before vaccine arrival at p-values below 0.01. The mean stock price increases during vaccine arrival ranges from 7% to over 20% for the different indexes. The paper provides practical information for investors who need to know how sensitive the various indexes are to vaccine information. The paper also provides an avenue for future research to expand this initial research on vaccine effect on stock prices. Furthermore, the paper presents a veritable case study for economics and finance postgraduate students in the universities. This paper fills existing gap in knowledge by being the first to analyse the effect of COVID vaccine arrival on the stock price of five main global stock indexes and contributes by indicating that stock indexes are sensitive to vaccine production with diverse percentages of sensitivity. [ABSTRACT FROM AUTHOR]

This article deals with basic concepts of neoclassical economic theory and behavioral finance and gives them definitions. Also it shows main differences between these two theories. The fundamental difference between them connects with relation of the existence of financial markets rationality - the classical theory allows that investors and the whole market can be rational, but behavioral finance finds a lot of empirical evidence that people often behave irrational. And therefore there are inefficiencies in real financial markets that don’t correspond to formal theoretical models.

This study examines whether sophisticated investors implement traditional accruals strategy and percent accruals strategy. Moreover we compare the amount of excess return and risk adjusted return of accruals strategy sophisticated investors and of those who are neutral to accruals strategy. For this purpose, we collect quarterly data of 950 observation of investment companies listed in Tehran Stock Exchange for the years 2011-2018. The hypotheses were tested using one sample t test. The results show that sophisticated investors do not implement accruals strategy. But implementation of accruals strategy by a subsample of sophisticated investors was verified. The results show traditional accruals strategy sophisticated investors do not earn excess return and risk adjusted return in compare with those who are neutral to traditional accruals strategy regardless of return measures. But there is some evidence that percent accruals strategy sophisticated investors earn excess return and risk adjusted return in compare with those who are neutral to percent accruals strategy.

The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (EMH) and Behavioral Finance theories were tested through the Event Study methodology. The research is empirical-analytical in nature, with a quantitative and descriptive approach in relation to the proposed objective. The statistical inferences were built by correlation analysis, linear regression tests and the results were evaluated based on the p-values obtained in the tests. The results indicate that events classified as static and dynamic in the research tend to lead to a higher trading volume and a greater volatility in the share price at the beginning of the first negotiation session after the relevant fact announcement, with adjustments along the day and further negotiations sessions. This evidences investors’ irrational behavior in the first two hours of negotiations.

The paper aims to examine persistence of shocks in returns on CDS for 5Y Croatian bonds. Based on sample of daily data from January 6, 2004 up until December 13, 2019 the paper evaluated research hypothesis that assumed persistence of shocks in returns on 5Y Croatian bond. To evaluate the research hypothesis, the paper employed quantile autoregression approach and nonparametric time varying autoregreession approach. The empirical results rejected the research hypothesis assuming persistence of shocks in returns on CDS for 5Y Croatian bonds. Based on the results from this paper, returns on CDS from for 5Y Croatian bonds are in line with efficient market hypothesis for endogenous shocks of small magnitude and at the highest level of endogenous shocks. Furthermore, efficient market hypothesis holds during the calm periods, while during the periods with more dynamics in CDS prices the paper suggests profitable strategy for trader and investors. Eventually, the paper contributes to the ongoing discussion regarding efficient market hypothesis while revealing the case of returns on CDS for 5Y Croatian bonds. Furthermore, the paper suggests trading and investment strategies for investors.

Bu çalışma, Bitcoin’in fiyat davranışınıotoregresif birim kökü olan iki rejimli bir TAR modeli kullanarak araştırmaktadır.Çalışmada, durağan dışılığı ve doğrusal olmamayı eş zamanlı olarak sınayanCaner ve Hansen (2001) tarafından geliştirilen yöntem kullanılmıştır. Bu amaçla, 16.07.2010 – 27.11.2018dönemi için (3.056 adet günlük gözlem) Bitcoin kapanış fiyatlarına ait veriseti oluşturularak Bitcoin fiyatlarının etkin olup olmadığı incelenmiştir. Elde edilen bulgular, Bitcoin fiyatlarının tümdönem dikkate alındığında zayıf formda etkin piyasalar hipotezini desteklemektedir.Ancak rejimler arası geçiş dikkate alındığında Bitcoin fiyat serisinde ikirejim olduğu sonucuna ulaşılmıştır. Birinci rejimde zayıf forma etkin piyasalarhipotezinin geçerli olduğu, ancak ikinci rejimde geçerli olmadığı tespitedilmiştir.

The impact of news on individual investor decision is explicit as investors need to update, adapt and forecast returns with constraints of time, uncertainty and resources to be successful. The aim is to understand and review the influence of news on individual investor’s decision making in stock markets and identify the impact of different type of news on individual investor’s decision making in stock markets, assess the behavioral reaction and investment decisions made by investors before and after there is news item, identify the linking effect on behavioral theories and biases, develop a generalized decision making conceptual model to understand the impact of news on investor’s reaction, decision and its linkages along with the behavioral bias. Theoretical basis/methodology for processing of news by investors is assumed to be based on Broadbent’s filter theory (1958) and due to cognitive informational inefficiency of investors it assesses the attention and the investor’s reaction of overreaction and underreaction, which do not comply with efficient market hypothesis theory. The reasons for its noncompliance are found by relating it with behavioral theories. The results explain how investor screens with filters and give attention to news only when it affects their portfolio or investment objective and strategies. It is concluded that investor’s decision making depends on degree of information penetration, information content, information influence, specific internal factors and generic external and on investors prevailing at that given circumstances. This gives us the solution to comprehend the investor’s reaction, decision and unresolved reversals, short- and long-term overreaction.

Over the last decades, terrorism has become a global phenomenon to which every society is exposed from time to time. Terrorist attacks can have many economic consequences that may affect a number of sectors, including the capital market. The main goal of this paper is to examine the reaction of the CAC40 index to one terrorist attack, mainly “Charlie Hebdo” using an event study methodology. By calculating the abnormal returns and the cumulative abnormal returns in the event period, the results obtained show no significant abnormal returns on the day of the terrorist attack suggesting that the market had directly absorbed the effect of the attack. Thus, the findings suggest that the French market is semi-strong efficient. Investors can rely neither on past information nor on publicly available information to make abnormal profits.

Abstract Efficient Market is the market where all traded securities prices reflects all available information. Market Efficient Hypotesis in the Weak Form stated that past stock price movement incorporated with current securities’s prices, thus it can be used to predicting the current price or return. The objective of this research is to examine the weak form of Efficient Market Hypothesis (EMH) in Indonesia Sharia Stock Index (ISSI) over the period of January 3rd2017 -February 8th 2019. To Examine the EMH, some appropriate tests are developed, these are: Run Test, Autocorrelation Test, Autoregressive Integrated Moving Average (ARIMA), and Paired Sample t-test. The result findings showing that ISSI is not efficient in the weak form during the period of the study. Moreover, in accordance with time series modelling result, the fitted model is ARIMA (1,1,1) with accuracy level of 78%. This result proved that ARIMA model successfully and accurately in forecasting ISSI indices. It can be implied that the historical stock index data in the past still described the stock index information in the future. Thus, technical analysis is still feasible to do as the guide for investors in conducting transactions in the capital market. Abstrak Pasar yang efisien adalah pasar dimana semua harga sekuritas yang diperdagangkan telah mencerminkan semua informasi yang tersedia. Teori pasar efisien bentuk lemah menyatakan bahwa perubahan harga masa lalu tidak berhubungan dengan harga sekuritas sekarang, sehingga tidak dapat digunakan untuk memprediksi harga atau return dari sekuritas. Penelitian ini bertujuan untuk melakukan pengujian hipotesis pasar efisien bentuk lemah pada Indeks Saham Syariah Indonesia (ISSI). Data diambil pada periode 3 Januari 2017 – 8 Februari 2019. Pada tahap awal penelitian, Run test dan Autocorrelation test dilakukan untuk melihat apakah pasar efisien bentuk lemah berlaku pada ISSI. Selanjutnya dilakukan pembentukan pemodelan time series ARIMA untuk melihat teknik prediksi yang sesuai untuk memprediksi Indeks Saham ISSI. Hasil Run test dan Autocorrelation test menunjukkan bahwa hipotesis pasar efisien bentuk lemah tidak terbukti. Pada pembentukan model ARIMA, terlihat bahwa model yang sesuai adalah ARIMA (1,1,1) menghasilkan tingkat akurasi sebesar 78%. Hal ini membuktikan bahwa model ARIMA berhasil dan akurat digunakan untuk memprediksi Indeks Harga Saham ISSI. Oleh karena itu, analisis teknikal masih dapat digunakan oleh investor untuk menjadi pedoman dalam melakukan transaksi perdagangan di pasar modal.

The current article has the research objective to search for empirical evidence of the January effect within the time series of the IPC and the sector indexes of the Mexican stock market using econometric GARCH analysis. The dataset is formed by the log returns of the daily closing prices corresponding to the IPC as well as the sector indexes covering the period from 01/01/2010 to 12/31/2018. The main results of the article are as follows: Based on the January effect the Efficient Market Hypothesis in its weak form sense cannot be rejected for the Mexican stock market as the results do not provide significant evidence of the existence of the respective calendar anomaly within the analyzed time series of the IPC and the different sector indexes.

This paper analyzes price gaps in the Ukrainian stock market for the case of UX index over the period 2009–2018. Using different statistical tests (Student’s t-tests, ANOVA, Mann-Whitney test) and regression analysis with dummy variables, as well as modified cumulative approach and trading simulation, the authors test a number of hypotheses searching for price patterns and abnormal market behavior related to price gaps: there is seasonality in price gaps (H1); price gaps generate statistical anomalies in the Ukrainian stock market (H2); upward gaps generate price patterns in the Ukrainian stock market (H3) and downward gaps generate price patterns in the Ukrainian stock market (H4). Overall results are consistent with the Efficient Market Hypothesis: there is no seasonality in price gaps and in most cases there is no evidences of price patterns or abnormal price behavior after the gaps in the Ukrainian stock market. Nevertheless, the authors find very strong and convincing evidences in favor of momentum effect on the days of negative gaps. These observations are confirmed by trading simulations: trading strategy based on detected price pattern generates profits and demonstrates overall efficiency, which is against the market efficiency. These results can be interesting both for academicians (further evidences against market efficiency) and practitioners (real and effective trading strategy to generate profits in the Ukrainian market market).

Çalışmanın amacı, Türk bankacılık sektör endeksiningetiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH veARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini testetmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi Borsa İstanbulBanka Endeksi (XUBANK) kapanış fiyatları kullanılmıştır. İkili uzun hafızayıtest etmek için farklı hata dağılım varsayımlarına göre kurulan ARFIMA-FIGARCHmodel tahminlerine göre, getiride uzun hafıza özelliğine ilişkin bulgular eldeedilemezken; volatilitede uzun hafızaözelliğini destekler bulgulara ulaşılmıştır. Ayrıca, söz konusu dönemde ortayaçıkan yapısal kırılmanın volatilitedeki uzun hafıza üzerinde istatistiki biretkisinin olmadığı tespit edilmiştir. Bilgi şoklarının asimetrik etkisini deölçmek için ARFIMA-FIEGARCH modeli Student-t dağılımına göre tahmin edilmiş vegetiride uzun hafıza olmadığı tespit edilmiştir. Ancak getiri volatilitesindeuzun hafıza parametresinin 0,74 olduğu ve negatif bilgi şoklarının pozitifbilgi şoklarına göre daha fazla oynaklığa sebep olduğu gözlenmiştir.

This paper investigates the polysemic character of the Efficient Market Hypothesis through a comparison of the contributions of the two authors who introduced this hypothesis in 1965, Eugene Fama and Paul Samuelson. While both had a normative approach, it is argued that the key point distinguishing the two contributions is the expertise developed by each author. Fama interpreted his model to make practical recommendations for investment strategy. Samuelson interpreted his model to discuss and promote a political expertise that would be useful for policymaking such as the Pareto optimality of speculative price or the social benefit of speculation. The second part investigates the context of paper writing. We suggest that two elements are central to explain Fama and Samuelson's stance: first, the contrasting viewpoints of their research institutions, respectively Chicago and MIT, and second, the position of each author in early financial economics. Finally, we show how their early contrasted stance is consistent with Fama and Samuelson's opposite reactions to the Efficient Market Hypothesis controversy in the 1980s. In conclusion, we suggest that this opposition between Fama and Samuelson is useful to discuss the early EMH controversy in the 1980s.

In this study, the existence of the day of the week effect in cryptocurrency markets was investigated. When empirical studies on the existence of calendar anomalies in cryptocurrency returns are examined, it is seen that most researchers focus only on the Bitcoin market. In this study, we analyzed not only Bitcoin, but also ten other cryptocurrencies which stand out both in terms of trading volume and market size as of January 2021. Due to natural divergences in the launch dates of cryptocurrencies, the time frames taken into account in the data sets differ for each respective cryptocurrency. As a result of the estimated OLS with dummy variable, ARCH and GARCH regression models, it has been determined that each day of the week has a statistically significant effect on different cryptocurrencies. The findings show that eight cryptocurrency markets are not efficient. [ABSTRACT FROM AUTHOR]

In this study, we investigated the characteristics of Turkey's CDS premiums for the period 2010 – 2020 as a financial time series with parametric and semi-parametric preliminary tests. We investigated weak form market efficiency and fractal market characteristics with the help of asymmetric dual long memory models. According to the results of the ARFIMA-FIGARCH, ARFIMA-FIEGARCH and ARFIMA-FIAPARCH models, consistent with preliminary tests, we determined features close to short memory in the change series and features of long-term memory in the volatility series. It was determined that the prediction performance decreased in the models in which structural breaks were included in the variance equation. The decrease in the long memory parameter coefficients in the models made under structural breaks can be interpreted as a break in the long memory resistance. The predictable volatility in Turkey's credit default swap market contradicts the efficient market hypothesis. The credit default swap market exhibits fractal characteristics. [ABSTRACT FROM AUTHOR]

The modern financial market theory (MFMT) – based on the efficient market hypothesis, rational expectation theory, and modern portfolio theory – has become the standard approach in financial market economics. In this article, the MFMT will be critically reviewed using the logic of human action (or: praxeology) as an epistemological metatheory. It will be shown that the MFMT exhibits (praxeo-)logical deficiencies so that it cannot provide investors with well-founded decision-making support in real-world financial markets. [ABSTRACT FROM AUTHOR]

The efficient market hypothesis is an important concept that measures the efficiency of the market by stating that investors cannot make abnormal profits by stock trading on the available information. stock returns and variability in returns are prominent area of interest of investors, traders, researchers and market regulators. This study explores the very widely tested seasonally anomaly of day of week effect and month effect for the Indian stock market over the period of January 2010 to December 2020 by employing descriptive statistics ad regression analysis. The results provide empirical evidence of the month effect of March and October and no evidence of day of week effect from the statistical evidence but from the daily mean returns, we observe the Monday negative and Friday higher positive return. Further, the literature evidence that supports the argument that day effect seasonal anomaly are not consistent and do not exist in the study. The paper reports the prevalence of monthly effects in the Indian stock market and this would aid investors in designing investment strategies based on March and October effect anomaly in earning return over portfolio investment. [ABSTRACT FROM AUTHOR]

Machine learning in finance has been on the rise in the past decade. The applications of machine learning have become a promising methodological advancement. The paper's central goal is to use a metadata-based systematic literature review to map the current state of neural networks and machine learning in the finance field. After collecting a large dataset comprised of 5053 documents, we conducted a computational systematic review of the academic finance literature intersected with neural network methodologies, with a limited focus on the documents' metadata. The output is a meta-analysis of the two-decade evolution and the current state of academic inquiries into financial concepts. Researchers will benefit from a mapping resulting from computational-based methods such as graph theory and natural language processing. [ABSTRACT FROM AUTHOR]

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks. [ABSTRACT FROM AUTHOR]

We examine the effect of the Efficient Market Hypothesis (EMH) on the investment behavior of mutual fund managers. We show that managers who are more likely to be exposed to the ideas of EMH throughout their higher education are more "passive" than their unexposed peers: they are more likely to manage index funds, and when managing active funds, they hold portfolios with larger numbers of stocks and deviate less from their investment benchmarks. Exposed managers, however, take more systematic risks. Although academic exposure to the EMH does not result in better performance, it helps professional investors generate capital inflows. [ABSTRACT FROM AUTHOR]

The announcement of the Domestic Market Obligation (DMO) coal price policy becomes the signal for investment decision making. The event was an announcement related to the government that can affect shares in the capital market. The form of capital market efficiency knows how equal the information that investors can absorb and the signal that indicates investors’ response, whether it is positive or negative. This research is a descriptive event study that uses twenty-one samples of coal mining subsector companies to determine capital market reactions to the Domestic Market Obligation (DMO) coal price policy announcement. During the observation period, there was a significant market reaction with a marked abnormal negative return. There is a leak of information before implementing policy, which makes the form of capital market efficiency is semi-strong form. Also, this is caused by the investor, which gets the difference of information degree based on the market efficiency hypothesis. The next research can use different event windows to increase the knowledge about the effect of the announcement of the Domestic Market Obligation (DMO) coal price policy towards market reaction.

This study aims to test the adaptive market hypothesis by using the myopic behavior of investors as a new proxy. The data have been taken from New York Stock Exchange from December 1994 to December 2020. Following this collection of data, the companies’ stock prices were distributed into six different portfolios based on size, investment, a book-to-market value, and operating profit. Ordinal logistic regression was used to calculate the probability of recovery of losses after experiencing a decline in the market. As part of the robustness analysis, this study replaces the Sharpe ratio with a Lower Partial Moment ratio. Most of the results for the Sharpe ratio and Lower Partial Moment ratio are similar. During 1995–1999, 2002–2006, and 2010–2020, the investors have not shown myopic behavior towards losses, but from 2000–2001 and 2007–2009 the investors exhibited myopic characteristics. Furthermore, as investors move between myopic and non-myopic loss aversion, the study reports that the US market is both efficient and inefficient at various points in time, following the adaptive market hypothesis. Thus, such a finding could act as a basis for future investment models by adapting traditional models or by building and contributing to the development of new ones.