Theoretical and Applied Economics
No. 2 / 2022 (631), Summer
The past, the present and the prospective future of efficient market hypothesis: a theoretical and empirical investigation of international stock markets
Kurukshetra University, India
Neelam DHANDA
Kurukshetra University, India
Abstract. This article discusses the documentary evidence on the Efficient Market Hypothesis (EMH) generated in the middle of 20th century and 21st century so far to have a crystal clear understanding of whether the destiny of EMH has met an end or it will continue to play a crucial role in the modern finance. The debate that is ongoing between the conflicting ideologies of EMH and the behavioral finance is presented here. Further, to have a comprehensive understanding of the concept, this article empirically tests the validity of the weak-form of market efficiency by implementing various tests such as unit root test (Augmented Dickey-Fuller, Phillips-Perron test), variance ratio test, runs test, serial correlation LM test, GARCH model, etc. We study the data of eleven indices pertaining to nine developed and emerging nations of the world. The study then concludes with a futuristic view that the concept of EMH will continue to be one of the most and widely accepted theories by academicians despite the availability of a pile of literature that discards or goes against the hypothesis, until and unless the behavioral theorists come up with a concrete theory guiding stock pricing and return behavior.
Contents
International banking, crises and strategic interests
The importance of demand, uncertainty and monetary policy shocks from the euro area for the Romanian economy
Fiscal consolidation and public debt in the European Union: Reevaluating the relationship
Measuring the impact of philanthropy on small businesses: A case study of small business in Israel
Whether high frequency intraday data behave randomly: Evidence from NIFTY 50
Poverty in Romania: an analysis at regional level
The past, the present and the prospective future of efficient market hypothesis: a theoretical and empirical investigation of international stock markets
Casual nexus between economic growth, FDI and employment: An inquiry into BRICS and ASEAN
A comparative analysis of export-led and domestic demand-led growth hypotheses in BRICS economies
Reinsurance – an efficient solution of catastrophe risk transfer for the housing stock of Romania
Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model
Linear and nonlinear effect of exchange rate on inflation in Pakistan
Assessing the performance of mutual funds
Model for estimating the profitability of placing asset portfolios on the capital market