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Journal articles on the topic 'The efficient market hypothesis and the signaling theory'

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Published: 4 June 2021
Last updated: 18 February 2022

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1

Swandari Budiarso, Novi, Abdul Wahab Hasyim, Rusman Soleman, Irfan Zam Zam, and Winston Pontoh. "Investor behavior under the Covid-19 pandemic: the case of Indonesia." Investment Management and Financial Innovations 17, no. 3 (2020): 308–18. http://dx.doi.org/10.21511/imfi.17(3).2020.23.

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This study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to the impact of the Covid-19 pandemic. In terms of efficient market theory, prospect theory and signaling theory, this study aims to analyze the relationship between risk and return in the Indonesian capital market during the Covid-19 pandemic as a manifestation of investor behavior. To test hypothese
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2

Yasar, Burze, Thomas Martin, and Timothy Kiessling. "An empirical test of signalling theory." Management Research Review 43, no. 11 (2020): 1309–35. http://dx.doi.org/10.1108/mrr-08-2019-0338.

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Purpose This study aims to support and extend signalling theory because of information asymmetry. This study also aims to answer the call to further negative signalling and explore immediate reactions to signals, thus alleviating a gap with regard to temporality of signalling. Design/methodology/approach The study used two separate data sources, the S&P 500 and 51,500 pages of the public papers between 1981 and 1999, nearly 20 years of data. Inter-rater reliability, controlled for all macroeconomic announcements identified in the literature, is used, and the data are empirically tested usi
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3

John O. Messo, Raude, and John Byaruhanga. "Earnings Announcement and the Performance of Security Prices of Companies Listed on the Nairobi Securities Exchange, Kenya." International Journal of Business and Management 14, no. 9 (2019): 188. http://dx.doi.org/10.5539/ijbm.v14n9p188.

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Security price performance is a significant economic activity which measures the company’s wealth and plays a vital role in economic growth. Security price performance reflects investor perception to earn and grow returns in the future. However, this is not the case for the NSE, Kenya N20 share index, which for the past two to three years experienced declines in security prices prompting this study to investigate the effect of Earnings Announcements on the Performance of Security Prices of companies listed on the NSE, Kenya. The study applied the Dividend Signaling Theory, the Effici
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4

Jeong, Bong-Keun, and Ying Lu. "The Impact of Radio Frequency Identification (RFID) Investment Announcements on the Market Value of the Firm." Journal of Theoretical and Applied Electronic Commerce Research 3, no. 1 (2008): 41–54. http://dx.doi.org/10.3390/jtaer3010006.

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This paper examines the impact of RFID investment announcements on the market value of the firms and explores industry effects of the positive abnormal returns to firms making the announcements. Drawing upon the efficient market theory, market signaling hypothesis, and prior empirical studies, we employ event study methodology to analyze RFID investment announcements over a six-year period from 2001 to 2006. In this paper, we present preliminary results that demonstrate an overall positive abnormal return to RFID investment announcements over the three-day event window. In addition, industry d
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Kustono, Alwan Sri. "Motive behind Earnings Management Practices: Case in Public Property and Real Estate Companies in Indonesia." AKRUAL: Jurnal Akuntansi 12, no. 1 (2020): 49. http://dx.doi.org/10.26740/jaj.v12n1.p49-64.

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This study examines the antecedents and consequence variables of earnings management. This study is expected to explain the motive of earnings management practices by public property and real estate companies in Indonesia: opportunistic or efficient. The theory which is the basis for developing the hypotheses ise agency, positive accounting, and signaling theories simultaneously. This study is explanatory research which aims to explain the causal relationship between variables through hypothesis testing. Data of this research are financial statements of public companies in the property and rea
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6

James, Kevin R., and Marcela Valenzuela. "The Efficient IPO Market Hypothesis: Theory and Evidence." Journal of Financial and Quantitative Analysis 55, no. 7 (2020): 2304–33. http://dx.doi.org/10.1017/s0022109019000784.

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We derive the optimal underwriting method and the quantitative initial public offering (IPO) pricing rule that this method implies in a market with informational frictions consisting of fully rational banks, issuers, and investors. In an efficient IPO market, an issuer’s expected initial return will be determined entirely by the combination of this pricing rule and issuer fundamentals. Applying this rule, we find that we can explain the quantitative magnitude of the principal aspects of the time-series and cross-sectional variation in IPO average initial returns. We conclude that the IPO marke
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7

GULKO, LES. "THE ENTROPIC MARKET HYPOTHESIS." International Journal of Theoretical and Applied Finance 02, no. 03 (1999): 293–329. http://dx.doi.org/10.1142/s0219024999000170.

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Information theory teaches that entropy is the fundamental limit for data compression, and electrical engineers routinely use entropy as a criterion for efficient storage and transmission of information. Since modern financial theory teaches that competitive market prices store and transmit information with some efficiency, should financial economists be concerned with entropy? This paper presents a market model in which entropy emerges endogenously as a condition for the operational efficiency of price discovery while entropy maximization emerges as a condition for the informational efficienc
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Das, Amaresh. "Martingales, Efficient Market Hypothesis and Kolmogorov’s Complexity Theory." Information Management and Business Review 2, no. 6 (2011): 252–58. http://dx.doi.org/10.22610/imbr.v2i6.905.

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Efficient market theory states that financial markets can process information instantly. Empirical observations have challenged the stricter form of the efficient market hypothesis (EMH). These empirical observations and theoretical considerations show that price changes are difficult to predict if one starts from the time series of price changes. This paper provides an explanation in terms of algorithmic complexity theory of Kolmogorov that makes a clearer connection between the efficient market hypothesis and the unpredictable character of stock returns.
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Pradana, Bayu Laksma. "ADAPTIVE MARKET? A NEW HYPOTHESIS?" Jurnal Bina Akuntansi 5, no. 1 (2018): 150–63. http://dx.doi.org/10.52859/jba.v5i1.38.

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The efficient market hypothesis (EMH) has been challenged by behaviourists for decades. Is market predictable? and how rational human beings prone to make flaws in making decisions are two general questions that still debatable until nowadays. A long argument between Rationalists and Behaviorists. A new theory emerged to find a way out and became the “middle way”. It gave justifications that those previous theories have both their own strengths and also weakneses. Combining biology, neuro science, and evolution, The MIT Professor seemed to believe that finance and market today are more like ev
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10

Cohen, Lloyd R. "Why Tender Offers? The Efficient Market Hypothesis, the Supply of Stock, and Signaling." Journal of Legal Studies 19, no. 1 (1990): 113–43. http://dx.doi.org/10.1086/467844.

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11

Jovanovic, Franck, Stelios Andreadakis, and Christophe Schinckus. "Efficient market hypothesis and fraud on the market theory a new perspective for class actions." Research in International Business and Finance 38 (September 2016): 177–90. http://dx.doi.org/10.1016/j.ribaf.2016.04.003.

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12

Mphoeng, Mphoeng. "Testing for Weak-Form Market Efficiency in the Botswana Stock Market." Archives of Business Research 7, no. 9 (2019): 134–40. http://dx.doi.org/10.14738/abr.79.6640.

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The theory of the Efficient Market Hypothesis (EMH) has been debated extensively. In this study the runs test was employed on the Botswana Stock Exchange daily Domestic Companies and Foreign Companies indices to test whether the Botswana stock market follows the random walk process and subsequently determine weak-form market efficiency. The results of the runs test showed that the indices do not follow the random walk process. As a result the Botswana stock market is determined to be weak-form market inefficient and rejects the efficient market hypothesis accordingly.
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13

Abubakar, Mika’ilu. "A Survey of Literature on Theory and Empirics of Efficient Market Hypothesis." Asian Journal of Economics, Business and Accounting 3, no. 3 (2017): 1–8. http://dx.doi.org/10.9734/ajeba/2017/34688.

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14

Amyulianthy, Rafrini, and Asriyal Asriyal. "Pengujian Empiris Efficient Market Hypothesis (EMH) Dan Capital Assets Pricing Model (CAPM)." Liquidity 2, no. 1 (2018): 21–33. http://dx.doi.org/10.32546/lq.v2i1.126.

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As indicated, Efficient Market Hypothesis theory played an important role in evolution of accounting research. The conflict between the Efficient Market Hypothesis and hypotheses underlying many accounting prescriptions led to the introduction and popularization of positive theory and methodology in the accounting literature. This paper is to provide a clearer understanding of the factors anomalies encountered by experts during a test of the reliability Efficient Market Hypothesis and Capital Asset Pricing Model (CAPM) theories which proposed by Fama in 1970.
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15

Hodnett, Kathleen, and Heng-Hsing Hsieh. "Capital Market Theories: Market Efficiency Versus Investor Prospects." International Business & Economics Research Journal (IBER) 11, no. 8 (2012): 849. http://dx.doi.org/10.19030/iber.v11i8.7163.

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This paper reviews the development of capital market theories based on the assumption of capital market efficiency, which includes the efficient market hypothesis (EMH), modern portfolio theory (MPT), the capital asset pricing model (CAPM), the implications of MPT in asset allocation decisions, criticisms regarding the market portfolio and the development of the arbitrage pricing theory (APT). An alternative school of thought proposes that investors are irrational and that their trading behaviors are driven by psychological biases such as greed and fear. Prospect theory and the role of behavio
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Hunter, John E., and T. Daniel Coggin. "Analyst judgment: The efficient market hypothesis versus a psychological theory of human judgment." Organizational Behavior and Human Decision Processes 42, no. 3 (1988): 284–302. http://dx.doi.org/10.1016/0749-5978(88)90002-7.

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17

Boutabba, Islem Ahmed. "Testing financial market efficiency." JOURNAL OF SOCIAL SCIENCE RESEARCH 3, no. 3 (2014): 351–72. http://dx.doi.org/10.24297/jssr.v3i3.3264.

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Since the birth of the financial literature until the 1970s, the efficient market hypothesis has been regarded as a central hypothesis. In the mid-1970s, there were theoretical and empirical evidence stating that the EMH seems untouchable. However, recently there has been an emergence of arguments doubting the EMH. The EMH implicitly indicates that stock prices can follow a random walk. Currently, financial theory has shown that stock prices do not follow a random walk.In this regard, our empirical study rejected the hypothesis of a random walk for 27 indices out of 28 studied. We confirm that
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Boutabba, Islem. "Testing financial market efficiency." JOURNAL OF SOCIAL SCIENCE RESEARCH 4, no. 2 (2014): 548–63. http://dx.doi.org/10.24297/jssr.v4i2.3151.

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Since the birth of the financial literature until the 1970s, the efficient market hypothesis has been regarded as a central hypothesis. In the mid-1970s, there were theoretical and empirical evidence stating that the EMH seems untouchable. However, recently there has been an emergence of arguments doubting the EMH. The EMH implicitly indicates that stock prices can follow a random walk. Currently, financial theory has shown that stock prices do not follow a random walk. In this regard, our empirical study rejected the hypothesis of a random walk for 27 indices out of 28 studied. We confirm tha
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19

Affleck-Graves, J. F., A. H. Money, and K. Miedema. "The horse racing industry and the efficient markets hypothesis." South African Journal of Business Management 18, no. 1 (1987): 35–40. http://dx.doi.org/10.4102/sajbm.v18i1.995.

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Betting on the racetrack and investing in the stockmarket have many characteristics in common. These similarities are discussed in this paper and the applicability of efficient markets theory to the market for horse racing bets in South Africa is examined. Both the weak form and the strong form of the efficient market hypothesis are empirically tested. The results indicate support for both forms although some small deviations from the theory do exist. Most notable of these is that on average long-odds horses win less frequently than suggested by their quoted odds whilst short-odds horses win m
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20

Dewi, Sucitra, Erlina ., and Endang Sulistya Rini. "The Effect of Efficient Market Hypothesis, Gambler's Fallacy, Familiarity Effect, Risk Perception, and Economic Factors on Investment Decisions (Studies on Capital Market Investors in Medan City)." Volume 5 - 2020, Issue 8 - August 5, no. 8 (2020): 285–91. http://dx.doi.org/10.38124/ijisrt20aug202.

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This study aims to examine the effect of the efficient market hypothesis, gambler's fallacy, familiarity effect, risk perception, and economic factors on investment decisions. This research is quantitative research with a descriptive approach. The population in this study were all capital market investors in Medan City. Determination of the research sample carries out by using judgment sampling technique and Malhotra theory so that 270 samples obtain. Data analysis using multiple linear regression analysis. The results of the multiple linear regression analysis showed that the efficient market
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21

Nitin Tanted and Prashant Mistry. "An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector." GIS Business 15, no. 1 (2020): 109–26. http://dx.doi.org/10.26643/gis.v15i1.17895.

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One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis.
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22

Castro, F. Henrique, and Claudia Yoshinaga. "Underreaction to open market share repurchases,." Revista Contabilidade & Finanças 30, no. 80 (2019): 172–85. http://dx.doi.org/10.1590/1808-057x201806230.

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ABSTRACT This article aims to investigate the long-term performance of a portfolio of firms that announced the repurchase of their own stocks in the Brazilian market from 2003 to 2014. Open market stock repurchase is a means to distribute cashflow to shareholders. Some of the reasons for a firm to buy back its own stocks are: to adjust its capital structure; to reduce excessive cash levels; as an alternative to dividends; and signaling to the market in order to reduce information asymmetry between the firm and its investors. If the signaling hypothesis is true, then forming a portfolio with sh
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23

Ying, Qianwei, Tahir Yousaf, Qurat ul Ain, Yasmeen Akhtar, and Muhammad Shahid Rasheed. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis." Journal of Risk and Financial Management 12, no. 2 (2019): 97. http://dx.doi.org/10.3390/jrfm12020097.

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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 o
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Puspitaningtyas, Zarah. "Empirical evidence of market reactions based on signaling theory in Indonesia stock exchange." Investment Management and Financial Innovations 16, no. 2 (2019): 66–77. http://dx.doi.org/10.21511/imfi.16(2).2019.06.

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Signaling theory assumes that it is necessary to signal investors to how they perceive company’s prospects. One of them is dividend announcements. The announcement of dividends is predicted to be a signal for investors in the investment decision making process. This study aims to determine and analyze the effect of dividend announcements, both increases and decreases in dividends, on stock returns. This study is intended to find empirical evidence about market reactions based on signaling theory in Indonesia Stock Exchange on the period 2017. The analysis of this study uses the event study met
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Seungwoo Kim. "The Cold War Origins of ‘Scientific’ Investment Discourse: Efficient Market Hypothesis, Rational Choice Theory, and the Modern Portfolio Theory." SA-CHONG(sa) ll, no. 95 (2018): 97–130. http://dx.doi.org/10.16957/sa..95.201810.97.

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26

Inaishi, Ryota, Kaoru Toya, Fei Zhai, and Eisuke Kita. "Effect of Overconfident Investor Behavior to Stock Market." Journal of Advanced Computational Intelligence and Intelligent Informatics 14, no. 6 (2010): 661–68. http://dx.doi.org/10.20965/jaciii.2010.p0661.

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Behavioral finance theory has been presented to explain the phenomena not explainable by conventional finance theory based on efficient market hypothesis from the investor psychology. We focused on overconfidence – an important psychological bias –, and analyzed the effect of overconfident investor behavior in stock market using multiagent simulation. We found that, based on the increase in overconfident market investors, market dealing increases and rising trends occur more often. An analysis of the relationship between overconfidence and rising trends shows that rising trends make investors
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Basdekidou, Vasiliki A. "The Overnight Return Temporal Market Anomaly." International Journal of Economics and Finance 9, no. 3 (2017): 1. http://dx.doi.org/10.5539/ijef.v9n3p1.

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The main goal of this paper is to introduce an innovative market anomaly relating to “time” during the overnight post-market session and therefore characterized as a temporal market anomaly. Anomalies in the markets appear from time to time and test the efficient market hypothesis. Many investors and traders believe that the markets follow the efficient market hypothesis. According to this theory the current price of a security (trading instrument) reflects all public and private information about that security (instrument). Changes in price are due to insider information, current news, or sud
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28

De Bondt, Werner. "Investor and market overreaction: a retrospective." Review of Behavioral Finance 12, no. 1 (2020): 11–20. http://dx.doi.org/10.1108/rbf-12-2019-0175.

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PurposeAre the capital markets of leading industrialized nations rational and efficient? This powerful hypothesis was badly dented by the work of De Bondt and Thaler (1985) on stock market overreaction and by subsequent research on momentum and reversals in prices and earnings.Design/methodology/approachHuman psychology, at times predictably irrational, drives the markets. This paper investigates this issue.FindingsThe author reviews the origins of the idea of overreaction, how behavioral insights modify standard asset pricing theory and how they contribute to our understanding of the world of
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H. Chowdhury, Reza, Min Maung, and Jenny Zhang. "Information content of dividends: a case of an emerging financial market." Studies in Economics and Finance 31, no. 3 (2014): 272–90. http://dx.doi.org/10.1108/sef-04-2013-0046.

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Purpose – The purpose of this paper is to examine the signaling and free cash flow hypotheses of dividends in the context of an emerging financial market. Design/methodology/approach – The authors use fundamental financial information of Chinese companies listed in the Shenzhen and Shanghai stock exchanges. They examine the impact of cash dividend payments on future profitability of individual firms with and without controlling for non-linearity in their earnings to test the signaling hypothesis. They also determine the characteristics of dividend paying firms to examine the free cash flow hyp
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Yulianti, Eka, and Dwi Jayanti. "PENGUJIAN EFISIENSI PASAR BENTUK LEMAH PADA PASAR MODAL INDONESIA PERIODE 2014-2017." GEMA : Jurnal Gentiaras Manajemen dan Akuntansi 11, no. 2 (2019): 178–90. http://dx.doi.org/10.47768/gema.v11i2.169.

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Investigate the current consumption of assets for the benefit of the future. The investment canbe done by only one in the capital market which means that the investment is invested in the initialcapital assets. Profit or the same value is aimed at the investor's main interest in investing not releasedfrom risk money. Such risks are inevitably uncertain about information movement in the stock market.Relevant information available can be used as a basis for making decisions when to buy shares orretain holdings of shares. In addition, information can also be a basis for consideration when to rele
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Fan, Qintao. "Earnings Management and Ownership Retention for Initial Public Offering Firms: Theory and Evidence." Accounting Review 82, no. 1 (2007): 27–64. http://dx.doi.org/10.2308/accr.2007.82.1.27.

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This paper investigates, both theoretically and empirically, how earnings management and ownership retention interact, and how these two jointly affect the equilibrium market valuation of IPO firms in the presence of information asymmetry. Analytically, this paper extends the univariate signaling framework of Leland and Pyle (1977) and derives an efficient signaling equilibrium in which both reported earnings and ownership retention are endogenously chosen to convey the IPO issuer's private information. It is shown that even though either ownership retention or reported earnings communicates t
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Renigier-Biłozor, Małgorzata, and Radosław Wiśniewski. "The Effectiveness of Real Estate Market Versus Efficiency of Its Participants." European Spatial Research and Policy 19, no. 1 (2012): 95–110. http://dx.doi.org/10.2478/v10105-012-0008-5.

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Real estate markets (REMs) may be classified as strong-form efficient, semi-strong-form efficient or weak-form efficient. Efficiency measures the level of development or goal attainment in a complex social and economic system, such as the real estate market. The efficiency of the real estate market is the individual participant's ability to achieve the set goals. The number of goals is equivalent to the number of participants. Every market participant has a set of specific efficiency benchmarks which can be identified and described. In line with the theory of rational expectations, every parti
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BIANCHI, SERGIO, ALEXANDRE PANTANELLA, and AUGUSTO PIANESE. "EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL." Advances in Complex Systems 18, no. 01n02 (2015): 1550001. http://dx.doi.org/10.1142/s0219525915500010.

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Real-world financial dynamics daily do challenge the credibility of the Efficient Market Hypothesis, the pillar of the whole martingale-based modern financial theory stating that at any time asset prices discount all past information. As a matter of fact, the empirical evidence accumulated so far indicates that current models cannot explain the complexity of financial market movements, to the extent that a strand of skeptical thought, the Behavioral Finance, has been booming. The question whether a model exists which is able to make consistent the two paradigms is a living matter that financia
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Ang, Wei Rong, and Olaf Weber. "The market efficiency of socially responsible investment in Korea." Journal of Global Responsibility 9, no. 1 (2018): 96–110. http://dx.doi.org/10.1108/jgr-11-2016-0030.

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Purpose This paper aims to analyze the market efficiency of socially responsible investment in Korea. The authors used the daily price of the Dow Jones Sustainability Index Korea between January 2006 and December 2015. Design/methodology/approach To analyze the unpredictability of the returns, the authors conducted runs tests, such as the Dickey–Fuller test, the Philip–Perron test, the variance ratio test and autocorrelation tests. These tests investigate whether the future price of socially responsible investment in Korea is dependent on its previous price. If the relationship is dependent, t
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Batista, Alexandre Ricardo de Aragão, Uxi Maia, and Alécio Romero. "Stock market under the 2016 Brazilian presidential impeachment: a test in the semi-strong form of the efficient market hypothesis,." Revista Contabilidade & Finanças 29, no. 78 (2018): 405–17. http://dx.doi.org/10.1590/1808-057x201805560.

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ABSTRACT This article aims at contributing to study the stock market’s reaction up to the point of generating significant abnormal returns or cumulative abnormal returns within the Brazilian impeachment period. By means of the efficient market hypothesis (EMH), in its semi-strong form, the purpose was verifying whether the presidential impeachment that took place in Brazil in 2016, in 3 different dates, brought the expected reaction from the stock market on the Brazilian Stocks, Commodities and Futures Exchange (BM&FBOVESPA). The theme is relevant, as it addresses aspects of politics and e
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McCarthy, Mary, Paul Solomon, and Paul Mihalek. "Financial Crisis During 2007 And 2008: Efficient Markets Or Human Behavior?" Journal of Applied Business Research (JABR) 28, no. 6 (2012): 1275. http://dx.doi.org/10.19030/jabr.v28i6.7342.

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The recent U.S. financial crisis, the U.S. stock market crash of 1987, and other recent anomalies have seriously challenged Famas classic efficient capital markets hypothesis. These events have made it likely that future capital markets research will be enriched by the important role that human behavior plays in the success or failure of the financial markets. This paper examines the factors causing the recent crisis within the United States financial services sector, the degree to which it may be explained by efficient capital markets theory and the degree to which such behavioral finance con
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Ajekwe, Clement C. M., Adzor Ibiamke, and Habila Abel Haruna. "Testing the Random Walk Theory in the Nigerian Stock Market." IRA-International Journal of Management & Social Sciences (ISSN 2455-2267) 6, no. 3 (2017): 500. http://dx.doi.org/10.21013/jmss.v6.n3.p15.

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<div><p><em>This study tests the random walk theory in the Nigerian stock market by analyzing whether stock returns follow a random walk distribution. </em><em>The study employs the daily returns of the Top 20 most performing stocks on the NSE for the period January 1<sup>st</sup> 2010 to December 31<sup>st</sup> 2014. Autocorrelation and runs test</em><em> were employed for hypothesis testing. </em><em>Based on our analysis, we found that the daily stock returns of the 20 most active stocks on the Nigerian stock mar
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Albaity, Mohamed, and Diana Syafiza Said. "Impact of Open-Market Share Repurchases on Long-Term Stock Returns." SAGE Open 6, no. 4 (2016): 215824401667019. http://dx.doi.org/10.1177/2158244016670199.

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After the Asian financial crisis in 1997, firms listed on Bursa Malaysia were allowed to repurchase their shares on the open market. The number of companies engaged in share buyback is increasing and has become a tool to stabilize price by signaling undervaluation of the share. However, studies on share buyback in Malaysia are limited to the price performance surrounding the buyback events. This study aims to fill this gap by examining long-run price performance after the actual share buyback event over a sampling period of 2 years from 2009 to 2010 for Malaysian firms listed on FTSE Bursa Mal
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Suharli, Michell. "METODOLOGI RISET BAGI PERKEMBANGAN TEORI AKUNTANSI." Media Riset Akuntansi, Auditing dan Informasi 7, no. 3 (2007): 325. http://dx.doi.org/10.25105/mraai.v7i3.761.

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<p class="Style18"><strong><em>This paper explains development of accounting theory in the context accounting as a </em></strong><strong><em>science. As a science, theory should developed by empirical research. In first portion we try to explain about relationship between research and theory. We explore how accounting can be a science. It should involve discussion and research in positive accounting theory. Then </em></strong><strong><em>we descript classification of research, method, efficient market hypothesis and capital asse
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Setianto, Rahmat Heru, and Turkhan Ali Abdul Manap. "The Behavior of Indonesian Stock Market: Structural Breaks and Nonlinearity." Gadjah Mada International Journal of Business 13, no. 3 (2011): 209. http://dx.doi.org/10.22146/gamaijb.5480.

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This study empirically examines the behaviour of Indonesian stock market under the efficient market hypothesis framework by emphasizing on the random walk behaviour and nonlinearity over the period of April 1983 - December 2010. In the first step, the standard linear unit root test, namely the augmented Dickey-Fuller (ADF) test, Phillip-Perron (PP) test and Kwiatkowski-Philllips-Schmidt-Shin (KPSS) test identify the random walk behaviour in the indices. In order to take account the possible breaks in the index series Zivot and Adrews (1992) one break and Lumsdaine and Papell (1997) two breaks
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Khilji, Nasir M. "The Behaviour of Stock Returns in an Emerging Market: A Case Study of Pakistan." Pakistan Development Review 32, no. 4II (1993): 593–604. http://dx.doi.org/10.30541/v32i4iipp.593-604.

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In developed market economies, the stock market is a major conduit of financial resources from surplus units to deficit units. This transfer of funds is mutually advantageous to both parties. The recipients of these funds, publicly owned companies, are enabled to utilise them in profitable investments, while the surplus units, ultimately households, are provided an opportunity in sharing in the future profits of these enterprises. More importantly, by providing an active market for existing corporate securities, the stock market is also able to fulfil the liquidity needs of surplus units. The
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Babar, Samreen Fahim, Syeda Faizaq Urooj, and Khalid Usman. "Does Herding Exist? Evidence from Pakistan’s Stock Exchange." Global Economics Review I, no. I (2016): 13–23. http://dx.doi.org/10.31703/ger.2016(i-i).02.

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Herding transpires when an investor imitates the decision of other stockholders or shadow market consensus (Rizzi, 2008). The Chartered Financial Analyst Institute affirms “Herding Behavior Bias” as the principal presumption influencing the investor’s decision. (Kunte, S.2015). Herding behavior contradicts the validity of an Efficient Market Hypothesis (Famma and Franch, 1970). The investigation of herd behavior in the Pakistan stock market is indispensable as the inconsistent behavior of stockholders stems from the inefficient assets pricing and resource misallocation. The study’s result affi
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Chatterjee, Sutirtha, Jeffrey W. Merhout, Suprateek Sarker, and Allen S. Lee. "An examination of the electronic market hypothesis in the US home mortgage industry." Information Technology & People 26, no. 1 (2013): 4–27. http://dx.doi.org/10.1108/09593841311307114.

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PurposeThe purpose of this paper is to longitudinally test the propositions of the Electronic Market Hypothesis (EMH) within the context of the US home mortgage industry.Design/methodology/approachThe paper uses a deductive, positivist case study, through a systematic examination of “texts” in the trade press over three time periods: 1995‐1999, 2000‐2002, and 2003‐2007.FindingsEMH propositions, while generally not found to be valid in the early years, were more consistent with evidence in the home mortgage industry in the later period.Research limitations/implicationsThrows fresh light on the
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HASAN, MOHAMMAD S. "ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA STOCK EXCHANGE." International Journal of Theoretical and Applied Finance 07, no. 08 (2004): 1069–85. http://dx.doi.org/10.1142/s0219024904002797.

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This paper employs a battery of statistical tests to examine the random walk variant of the weak-form efficient market hypothesis (EMH) using the daily data of the Dhaka Stock Exchange, the major equity market of Bangladesh, over a period of January 1990 to December 2000. The test results, however, are at variance across testing procedures and sub-periods. Results based on the random walk model and unit root tests show that the null hypothesis of randomness cannot be rejected and stock prices have a significant random walk or permanent component. Our analysis of autocorrelation functions indic
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Gilbert, Richard J. "The Role of Potential Competition in Industrial Organization." Journal of Economic Perspectives 3, no. 3 (1989): 107–27. http://dx.doi.org/10.1257/jep.3.3.107.

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Potential competition is important as a mechanism to control market power. I assess the strengths and limitations of alternative theories of potential competition by examining the available theoretical, empirical and institutional knowledge. I consider four major schools of thought: the traditional model of limit pricing, dynamic limit pricing, the theory of contestable markets, and the market efficiency model. Traditional limit pricing models rest on the assumption that firms respond to entry but are able to earn persistent profits when the structural characteristics of markets make entry dif
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Qizam, Ibnu. "ISLAMIC CAPITAL MARKET INTEGRATION AND ASYMMETRIC INFORMATION: A STUDY IN THE FIVE ASEAN COUNTRIES FROM THE POST-GLOBAL FINANCIAL CRISIS." Business: Theory and Practice 22, no. 1 (2021): 121–32. http://dx.doi.org/10.3846/btp.2021.12832.

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This study aims at examining the integration impact of the five ASEAN Islamic capital markets on asymmetric information for ASEAN Economic Community (AEC) development. Utilizing samples of market and financial panel data from 2009 to 2015 among the five ASEAN Islamic capital markets, and applying two-country portfolios of the Islamic capital markets among the five ASEAN countries to measure the different levels of Islamic capital market integration, this study suggests that the different levels of the Islamic capital market integration between Indonesia and Malaysia are found to result in asym
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Tarek Al-Kayed, Lama, Sharifah Raihan Syed Mohd Zain, and Jarita Duasa. "The relationship between capital structure and performance of Islamic banks." Journal of Islamic Accounting and Business Research 5, no. 2 (2014): 158–81. http://dx.doi.org/10.1108/jiabr-04-2012-0024.

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Purpose – This paper aims to examine the effect of capital structure on Islamic banks’ (IBs) performance to provide guidance to finance managers for raising capital funds. As newcomers to the markets, IBs are facing a trade-off. They can either use high capital ratios which increase the soundness and safety of the bank and lower the required return by investors, or depend on deposits and Islamic bonds which are considered cheaper sources of funds due to their tax rebate. An IB’s management must carefully decide the appropriate mix of debt and equity, i.e. capital structure, to maximize the val
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Boutabba, Islem Ahmed. "Checking presence of excess volatility in forecasting volatility of a set of market indexes through an empirical comparison of three GARCH models." JOURNAL OF SOCIAL SCIENCE RESEARCH 3, no. 3 (2014): 385–94. http://dx.doi.org/10.24297/jssr.v3i3.3266.

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Classical financial theory is based on Efficient Market Hypothesis (EMH). Several researchers likeSchiller (1981) (1990), Le Roy and Porter (1980) have extensively argued for the invalidity of EMH. Volatility excess has been detected and highlighted by many researchers; however it has not been explained very well by EMH. For this reason, we conducted an empirical study to identify the variable characteristics of volatility by comparing three GARCH models (GARCH, E-GARCH and GRJ-GARCH) over five different market indexes to examine prediction of returns volatility.This comparison led us to detec
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Mohamed Yousop, Nur Liyana, Zuraidah Sipon, and Carolyn Soo Kum Yoke. "Lunar Effect: Analysis on Emerging Countries Stock Returns, Prior and During Financial Crisis." Journal of Emerging Economies and Islamic Research 2, no. 2 (2014): 67. http://dx.doi.org/10.24191/jeeir.v2i2.9625.

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The random walk hypothesis is a theory which states that market prices are not influenced by prior price movements and therefore, prices in the stock market cannot simply be predicted. The stock market is considered efficient and follows the random walk theory when intelligent market participants lead the situation and reflect all available information based on the past or future events. The phenomena of calendar anomalies in stock markets are proven from the previous study, where behavior of returns tend to be high or low during specific calendar periods. Thus, for this study, we aims to inve
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50

Boutabba, Islem. "Checking presence of excess volatility in forecasting volatility of a set of market indexes through an empirical comparison of three GARCH models." JOURNAL OF SOCIAL SCIENCE RESEARCH 4, no. 2 (2014): 573–79. http://dx.doi.org/10.24297/jssr.v4i2.3152.

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Abstract:
Classical financial theory is based on Efficient Market Hypothesis (EMH). Several researchers like Schiller (1981) (1990), Le Roy and Porter (1980) have extensively argued for the invalidity of EMH.Volatility excess has been detected and highlighted by many researchers; however it has not been explained very well by EMH. For this reason, we conducted an empirical study to identify the variable characteristics of volatility by comparing three GARCH models (GARCH, E-GARCH and GRJ-GARCH) over five different market indexes to examine prediction of returns volatility. This comparison led us to dete
APA, Harvard, Vancouver, ISO, and other styles
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