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This paper explores the efficiency issue of the oil market in order to test the seasonal behavior of oil price returns, specifically day-of-the-week effect and month-of-the-year effect for the period December 1987 to January 2016. We use a dummy variable regression estimation technique to test seasonal anomalies for the Brent and WTI crude oil returns. Our empirical results find support for the negative Monday effect. The evidence of negative Monday returns is consistent with the relevant empirical literature. Moreover, the returns on Thursday are highest in a week followed by returns on Friday for both oil markets. This study also found evidence on month-of-the-year effect as the negative returns in November and December for Brent and WTI oil markets. Finally, this study is important for energy researchers, market participants, and policy-makers because anomalous oil markets' behavior implies return predictability and the implementation of profitable investment strategies by market players and may also impact the macroeconomic variables and stock market returns. [ABSTRACT FROM AUTHOR]

Copyright of International Journal of Economic & Social Research is the property of Abant Izzet Baysal University, Faculty of Economics & Administrative Sciences 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 evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US) implementation, connections among big data, computational science, economics, finance, marketing, management and psychology, factors, outcome, and the solutions of supply chain finance, with a review and future directions, time-varying price-volume relationship, adaptive market efficiency, and a survey of the empirical literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a critical review in the light of the efficient market hypothesis, and a cross section analysis of country equity returns, and a review of the empirical literature. [ABSTRACT FROM AUTHOR]

Using a unique panel of survey data on Japanese firms, we provide evidence that firms hold private information revealed in the survey that has predictive power for stock returns. Specifically, we find that the information contained in firms' industry demand forecasts can predict the stock returns of the sector and individual firms up to the next five years. We also uncover the origin of the information advantage of firms, by examining its relation to analyst coverage. To examine the source of the information asymmetry this result implies, we focus on the extent to which firms are covered by securities analysts and find that such information asymmetry arises only in the case of firms not sufficiently covered by analysts. [ABSTRACT FROM AUTHOR]

Hayek and the Efficient Market Hypothesis (EMH) are often seen as proposing a similar theory of prices. Hayek is seen as proposing to understand prices as information conveyer, incorporating information during the process of competition, while EMH is defined as the fact that all information in a market is integrated into assets prices. This paper explains how a lineage between Hayek and the EMH can be illustrated while taking into account these differences. We introduce in order to defend this claim a distinction between methodological and epistemological differences: methodological differences are seen as the way an author operationalizes his broader conceptions whereas epistemology is defined as the core concepts of his theory. We particularly want to shed light on the homogeneous shift that can be identified in the epistemology of Hayek and the EMH. We conclude that this shift fleshes out the understanding that some authors have of neoliberalism. [ABSTRACT FROM AUTHOR]

In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history as well as in the other developed markets (UK, French, Canadian, German and Japanese). We employ various statistical techniques (average analysis, Student's t-test, ANOVA, and the Mann-Whitney test) and the trading simulation approach to analyse the evolution of the Halloween effect. The results suggest that in the US stock market and other developed markets, the Halloween effect only became detectable in the middle of the 20th century. Recently it is still present in the US stock market and most of the other developed markets, which provides opportunities to build a trading strategy which can beat the market. Therefore, it can be concluded that, in the main, the Halloween effect in the US market and other developed markets is consistent with the Adaptive Market Hypothesis. [ABSTRACT FROM AUTHOR]

This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of panel approach to examine the effects of international diversification. Wavelet coherence is employed to present visually the co-movement between the bond prices in a time–frequency space. The empirical results indicate that the presence of excess volatility is found in all countries. In addition, the findings from the panel analysis reveal evidence of market inefficiency in government bonds but lower excess volatility in the 10-year bond. There is also a large difference of magnitude in excess volatility, suggesting that the ASEAN-5 bond market is inefficient in individual markets. Excess volatility is less persistent regionally with low correlations, implying that balanced portfolios would greatly benefit from international diversifications. The results from the wavelet coherence analysis imply that investment in ASEAN bond prices may yield lower risk reduction for long horizon. [ABSTRACT FROM AUTHOR]

Copyright of Global Journal of Economics & Business Studies is the property of Gumushane University 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 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.)

This study introduces novel measures to quantify periods of market inefficiency, enabling precise analysis of their evolution over time and effective comparisons across markets or groups of markets. These measures are applied to an extensive dataset comprising stock indices from 25 European countries from 2007 to 2022. The empirical findings reveal a 20% increase in market inefficiency across Europe, primarily driven by heightened average inefficiencies in the stock markets of the group of developed European countries such as Germany and the Scandinavian countries. • We introduce novel measures to quantify periods of market inefficiency. • These measures enable a precise analysis of the evolution of market inefficiency. • Inefficiency in European stock markets has increased by 20% from 2007 to 2022. • This increase is mainly attributed to a rising inefficiency in developed markets. [ABSTRACT FROM AUTHOR]

A multi-fractional Brownian approach is used to measure the level of sectoral market efficiency through the Hurst exponent, using S&P 500 and sectoral indices data between 2002 and 2022. Our results show that each sector has a particular level of market efficiency, and it cannot be statistically represented by the aggregate market efficiency. However, there are long and short-term relationships between the efficiency of each sector and the level of market efficiency, which tend to vary from one sector to another. Besides, during periods of crisis, market efficiency by sector decreases sharply, and the cross-correlation of efficiency between sectors tends to increase. On the other hand, during the bull periods, the market efficiency could be considered a good hypothesis for the different sectors. • The multi-fractional Brownian motion is used to measure the level of efficiency. • Using 20 years of data we compute the time-varying Hurst exponent for both market and sectoral indices. • The results show that each sector has a particular level of market efficiency which depends on bull and bear periods. • There are long and short-term relationships between the sectoral and aggregate market. [ABSTRACT FROM AUTHOR]

This paper provides a review of the Fractal Market Hypothesis (FMH) focusing on financial times series analysis. In order to put the FMH into a broader perspective, the Random Walk and Efficient Market Hypotheses are considered together with the basic principles of fractal geometry. After exploring the historical developments associated with different financial hypotheses, an overview of the basic mathematical modelling is provided. The principal goal of this paper is to consider the intrinsic scaling properties that are characteristic for each hypothesis. In regard to the FMH, it is explained why a financial time series can be taken to be characterised by a 1/t1−1/γ scaling law, where γ>0 is the Lévy index, which is able to quantify the likelihood of extreme changes in price differences occurring (or otherwise). In this context, the paper explores how the Lévy index, coupled with other metrics, such as the Lyapunov Exponent and the Volatility, can be combined to provide long-term forecasts. Using these forecasts as a quantification for risk assessment, short-term price predictions are considered using a machine learning approach to evolve a nonlinear formula that simulates price values. A short case study is presented which reports on the use of this approach to forecast Bitcoin exchange rate values.

This paper evaluated the insurance sector of Nigeria Stock Exchange (NSE) for evidence weak-form efficiency using daily returns from January 2009 to February 2016. The study employs descriptive analysis, non-parametric runs test and autocorrelation function as well as Ljung-Box Q statistics in conducting the evaluation. Descriptive statistics of the insurance sector return series showed negative skewness and leptokurtic distribution. Estimates from the Jarque-Bera normality test showed that the insurance sector returns did not follow normal distribution. Results of the runs test reject null hypothesis of randomness in the return series of the insurance sector in the period studied. Furthermore, the autocorrelation functions and the Ljung-Box Q tests provide evidence of serial correlation in the stock returns of the insurance sector. Overall results from the study suggested that the insurance sector of NSE is not weak-form efficient. Consequently, technical analysis on the insurance sector of the NSE may not be fruitless.

In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best describes market behavior. The article’s major goal is to show how to appropriately model return distributions for financial market indexes, specifically which geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) dynamic equations best define the evolution of the S&P 500 and Stoxx Europe 600 stock indexes. Daily stock index data were acquired from the Thomson Reuters Eikon database during a ten-year period, from January 2011 to December 2020. The main contribution of this work is determining whether these markets are efficient (as defined by the EMH), in which case the appropriate stock indexes dynamic equation is the GBM, or fractal (as described by the FMH), in which case the appropriate stock indexes dynamic equation is the GFBM. In this paper, we consider two methods for calculating the Hurst exponent: the rescaled range method (RS) and the periodogram method (PE). To determine which of the dynamics (GBM, GFBM) is more appropriate, we employed the mean absolute percentage error (MAPE) method. The simulation results demonstrate that the GFBM is better suited for forecasting stock market indexes than the GBM when the analyzed markets display fractality. However, while these findings cannot be generalized, they are verisimilar.

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund flow and fund size exert more predictive influences on performance in the bearish state of the market than in the bullish state. Fund age, fund risk, and market risk were found to be the most significant factors driving the performance of active portfolios under time-varying conditions of the market. These variables exert more influence on fund performance under bearish conditions than under bullish conditions, emphasizing the flight-to-liquidity assets phenomenon and risk-aversion behavior of fund contributors during unstable conditions of the market. Consequently, fund managers need to maintain adequate asset bases while implementing policies that minimize dispersions in fund returns to engender persistence in performance. This study provides novel perspectives on how the determinants of fund performance change with market conditions as portrayed by the adaptive market hypothesis (AMH).

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

The paper presents the background analysis of the formation of human model in economics. in the conditions of the constantly performing development of the economic science until the neoclassic paradigm and its modifications. Among them is behavioural finance, which presents a special interest for modern researchers. The evolution of the model of making economically significant decisions in inter-temporal and essential dimensions is the subject matter of the research. We have shown that the concept of the economic human model itself is the multidimensional one. In parallel with the processes of economical, social and political changes and economic science development, the economic human model was becoming more complex and relevant for each period of time. In this regard, we followed the stages of defining the concept of “subject rationality”. The study determines the significant traits implemented by researchers to create a full and consistent human model. We demonstrate the gradual development of economists’ idea of different types of the motivation of economic agents. Along with the financial factors of motivation, the scientists begin to take into account non-financial ones. This approach can help researchers get more “humanistic” view at the economic human. The modern concept of the economic human with attention to its implicit restrictions is formed through the complication of requirements to the rationality and its components crystallization. In the paper, we characterize contribution of the domestic scientists to the development of new directions of economic theory. The research describes the role of different regional economic scientific schools in the process of the formation of the Russian behavioural finance school

Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.

The current study investigates Adaptive Market Hypothesis (AMH) via five different calendar effects in Pakistan stock market. For the purpose we examine daily returns of KSE-100 index. The sample comprises 24 years over the period from January 1992 to December 2015. We use sub-sample analysis by utilizing eight different subsamples. Each subsample comprises of equal length of observations (three years each). We further examine subsamples to determine which market condition proves more conduce to the performance of these anomalies. Through the study we enhance the existing literature on AMH as the study first time links both Gregorian and Islamic calendar anomalies with Adaptive Market Hypothesis that permits the performance of well-known calendar effects to fluctuate through time. Furthermore, the study first time links the varying behavior of calendar effects with different conditions prevail in the market to determine what market conditions prove to be most favorable for the performance of these anomalies. We find that behavior of all five calendar anomalies evolve over time as their performance vary from time to time and support the AMH. Furthermore, we also find the presence of the five calendar anomalies under study in different proposed market conditions which indicate varying degree of behavior of calendar anomalies in various market conditions. Overall findings of the current study propose that AMH well clarifies the behavior of calendar effects than traditional Efficient Market Hypothesis (EMH).

This study is intended to reaffirm the existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018. The contradictory findings of previous research on the existence and profitability of momentum strategies have raised a pertinent question on the validity of efficient market hypothesis. We documented the momentum effect in 90% of our sample countries of which 52.5% exhibited positive momentum effect while 37.5% exhibited negative momentum effect. The findings were robust to two distinct sub-period analyses. The clear rejection of efficient market hypotheses is valuable to momentum traders and stock market regulators.

Purpose – to investigate the Month of the year effect in the cryptocurrency market. Design/Method/Research Approach. A number of parametric and non-parametric technics are used, including average analysis, Student's t-test, ANOVA, Kruskal-Wallis statistic test, and regression analysis with the use of dummy variables. Findings. In general (case of overall testing – when all data is analyzed at once) calendar the Month of the Year Effect is not present in the cryptocurrency market. But results of separate testing (data from the period “suspicious for being anomaly” with all the rest of the data, except the values which belong to the “anomaly data set”) shows that July and August returns are much lower than returns on other months. These are the worst months to buy Bitcoins. Theoretical implications. Results of this paper claim to find some holes in the efficiency of the cryptocurrency market, which can be exploited. This contradicts the Efficient Market Hypothesis. Practical implications. Results of this paper claim to find some holes in the efficiency of the cryptocurrency market, which can be exploited. This provides opportunities for effective portfolio management in the cryptocurrency market. Originality/Value. This paper is the first to explore Month of the Year Effect in the cryptocurrency market. Paper type – empirical. Authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0117U003936).

The validity of Efficient Market Hypothesis (EMH) needs to be examine and investigate throughout the time, particularly relates with the existence of Calendar Effect in one country stock exchange. LQ 45 Index is one of the Index that known as the most liquid index in Indonesia stock exchange, however the liquidity of this Index is influenced by many factors including past prices and calendar effect. This paper investigates the existence of EMH in Indonesia where the result showed that weak form EMH exist in LQ 45 Index. The result also showed that during certain condition investor are not able to gain profit in LQ45 Index using historical share prices data