Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Efficient Market Hypothesis (EMH)"”.
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An order flow model and a liquidity measure of financial markets
… of liquidity generation process of financial markets and attempts to find a quantitative measure of market liquidity. Various statistical modeling techniques are introduced to model order flow generation, which is a liquidity generation process of the market. The order flow model successively …
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The efficient market hypothesis and gambling on National Football League games
The efficient market hypothesis (EMH) for sport betting states that all publicly available information should be mirrored in betting lines, so there should be no bias of betting outcomes. Because of several similarities to financial markets, the sport betting market is thought of as a fair market. …
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Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
… examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market …
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The efficient market hypothesis and a change to L.I.F.O. : an empirical study on the Johannesburg Stock Exchange
The dissertation presents a discussion on the Efficient Market Hypothesis (EMH) with particular reference to the implications for Financial Reporting. Furthermore a conceptual framework is proposed for empirical research in accounting. The results obtained indicate a significant negative reaction …
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Here's an idea : knowledge sharing among competitors to build a critical mass
… and (2) it is at odds with the neoclassical efficient-market hypothesis (EMH). Using a limitation of the EMH framework, I posit that expectations regarding the strength of the market's efficiency for a stock, measured as the amount of information available about that firm and the level of …
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Testing adaptive market efficiency under the assumption of stochastic volatility
This dissertation explores the adaptive market hypothesis (AMH) first proposed by Lo (2004) which incorporates the efficient market hypothesis (EMH) of Malkiel and Fama (1970) and its behavioural exceptions. The AMH differs from the EMH, in that it assumes that the efficiency level of a market can …
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Testing adaptive market efficiency in the presence of non-Gaussian uncertainties
… of the central debates in finance concerns the Efficient Market Hypothesis (EMH)—wherein markets are assumed to be efficient in the absolute sense. However, the possibility of time-varying weak-form market efficiency has received increasing attention in recent years. Under the Adaptive Market …
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Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange.
This research assessed market efficiency, volatility behaviour, asset pricing, and oil price risk exposure of the oil and gas companies quoted on the London Stock Exchange with the aim of providing fresh evidence on the pricing dynamics in this sector. In market efficiency analysis, efficient …
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Market Efficiency of African Stock Markets
… $54 billion in 2015. Investing on the stock markets is one of such investment opportunities. Stock markets in Africa have realised growth in market capitalization, membership, value and volume traded due to an increase in investments. This level of growth in African stock markets has raised …
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Evolutionary Dynamics in Stock Market: An Empirical Investigation for Chinese-A share Markets
… stock price dynamics in the Chinese A-share markets. We extend the Efficient Market Hypothesis (EMH), which states that if markets are efficient, future prices cannot be forecast, by incorporating evolutionary finance models and behavioural finance insights. Specifically, we examine the …
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Effect of market anomalies on expected returns on the JSE: A cross-sector analysis
The efficient market hypothesis and behavioural finance have been the cause of much debate for decades, with one theory advocating market efficiency and the other opposing it. The efficient market hypothesis (EMH) assumes that investors always act rationally and stock prices adjust rapidly to new …
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Using international diversification to enhance predicted equity index performance: a South African perspective
In the weak form, the Efficient Market Hypothesis (EMH) states that it is not possible to forecast the future price of an asset based on the information contained in the historical prices of that same asset. Under this assumption, the market behaves as a random walk and as a result, price …
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An analysis of market efficiency in the South Asian emerging stock markets: Bangladesh, India, Pakistan and Sri Lanka
This thesis investigates the weak-form of the Efficient Market Hypothesis (EMH) in the South Asian region. In particular, the emerging market countries of Bangladesh, India, Pakistan and Sri Lanka are considered. According to the weak-form of the EMH, current share prices reflect all available …
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Market Efficiency and Volatility Spillovers in the Amman Stock Exchange: A Sectoral Analysis
This thesis investigates the weak-form of the Efficient Market Hypothesis (EMH) by examining the behaviour of equity returns in the Amman Stock Exchange (ASE). In particular, the 10 largest sectors in terms of market capitalisation and number of listed companies are considered. According to the …