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Articoli di riviste sul tema "Market efficiency"

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Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 7 settembre 2023

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1

E. M. Naresh Babu, E. M. Naresh Babu. "Market Efficiency in Indian Cement Industry : An empirical study on Efficient Market Hypothesis". Indian Journal of Applied Research 3, n. 5 (1 ottobre 2011): 18–19. http://dx.doi.org/10.15373/2249555x/may2013/120.

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2

Njuguna, Josephine. "The market efficiency of the Tanzania stock market". Banks and Bank Systems 11, n. 3 (12 ottobre 2016): 75–86. http://dx.doi.org/10.21511/bbs.11(3).2016.08.

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The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

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3

Shaik, Muneer, e S. Maheswaran. "Market Efficiency of ASEAN Stock Markets". Asian Economic and Financial Review 7, n. 2 (2017): 109–22. http://dx.doi.org/10.18488/journal.aefr/2017.7.2/102.2.109.122.

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4

McKenzie, Andrew M., e Matthew T. Holt. "Market efficiency in agricultural futures markets". Applied Economics 34, n. 12 (agosto 2002): 1519–32. http://dx.doi.org/10.1080/00036840110102761.

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5

Oh, Gabjin, Seunghwan Kim e Cheoljun Eom. "Market efficiency in foreign exchange markets". Physica A: Statistical Mechanics and its Applications 382, n. 1 (agosto 2007): 209–12. http://dx.doi.org/10.1016/j.physa.2007.02.032.

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6

Schlarbaum, Gary G. "Market Efficiency". ICFA Continuing Education Series 1988, n. 2 (gennaio 1988): 8–15. http://dx.doi.org/10.2469/cp.v1988.n2.3.

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7

Haugen, Robert A., Edgar Ortiz e Enrique Arjona. "Market efficiency". Journal of Portfolio Management 12, n. 1 (31 ottobre 1985): 28–32. http://dx.doi.org/10.3905/jpm.1985.409033.

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8

BROWN, DAVID P., e ZHI MING ZHANG. "Market Orders and Market Efficiency". Journal of Finance 52, n. 1 (marzo 1997): 277–308. http://dx.doi.org/10.1111/j.1540-6261.1997.tb03816.x.

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9

Kleit, Andrew N., e Bruce H. Kobayashi. "Market failure or market efficiency?" Research in Transportation Economics 4 (gennaio 1996): 1–32. http://dx.doi.org/10.1016/s0739-8859(96)80003-5.

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10

Yang, Jae-Suk, Wooseop Kwak, Taisei Kaizoji e In-mook Kim. "Increasing market efficiency in the stock markets". European Physical Journal B 61, n. 2 (gennaio 2008): 241–46. http://dx.doi.org/10.1140/epjb/e2008-00050-0.

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11

Yang, Jae-Suk, Wooseop Kwak, Taisei Kaizoji e In-mook Kim. "Increasing market efficiency in the stock markets". European Physical Journal B 61, n. 3 (febbraio 2008): 389. http://dx.doi.org/10.1140/epjb/e2008-00088-x.

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12

Ranganathan, Thiagu, e Usha Ananthakumar. "Market efficiency in Indian soybean futures markets". International Journal of Emerging Markets 9, n. 4 (9 settembre 2014): 520–34. http://dx.doi.org/10.1108/ijoem-12-2011-0106.

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Purpose – The National commodity exchanges were established in India in the year 2003-2004 to perform the functions of price discovery and price risk management in the economy. The derivatives market can perform these functions properly only if they are efficient and unbiased. So, there is a need to properly evaluate these aspects of the Indian commodity derivatives market. The purpose of this paper is to test the market efficiency and unbiasedness of the Indian soybean futures markets. Design/methodology/approach – The paper uses cointegration and a QARCH-M-ECM-based framework to test the market efficiency and unbiasedness in the soybean futures contract traded in the National Commodity Derivatives Exchange (NCDEX). The cointegration test is used to test the long-run unbiasedness and market efficiency of the contract, while the QARCH-M-ECM model is used to test the short-run market efficiency and unbiasedness of the contract by allowing for a time-varying risk premium. The price data is also tested for presence of structural breaks using a Zivot and Andrews unit root test. Findings – The soybean contract is unbiased in the long run, but there are short-run market inefficiencies and also a presence of a time-varying risk premium. Though the weak form of market efficiency is rejected in the short run, the semi-strong market efficiency is not rejected based on the forecasts. Originality/value – This is the first paper to consider time-varying risk premium while performing the tests of market efficiency and unbiasedness on Indian commodity markets.

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13

Sharma, Ankit, e Keyur Thaker. "Market efficiency in developed and emerging markets". Afro-Asian J. of Finance and Accounting 5, n. 4 (2015): 311. http://dx.doi.org/10.1504/aajfa.2015.073470.

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14

Kumar, Brajesh, e Ajay Pandey. "Market efficiency in Indian commodity futures markets". Journal of Indian Business Research 5, n. 2 (31 maggio 2013): 101–21. http://dx.doi.org/10.1108/17554191311320773.

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15

Sanstad, Alan H., e Richard B. Howarth. "‘Normal’ markets, market imperfections and energy efficiency". Energy Policy 22, n. 10 (ottobre 1994): 811–18. http://dx.doi.org/10.1016/0301-4215(94)90139-2.

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16

Charles, Amélie, Olivier Darné e Jessica Fouilloux. "Market efficiency in the European carbon markets". Energy Policy 60 (settembre 2013): 785–92. http://dx.doi.org/10.1016/j.enpol.2013.05.036.

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17

Filis, George. "Testing for Market Efficiency in Emerging Markets". Journal of Emerging Market Finance 5, n. 2 (agosto 2006): 121–33. http://dx.doi.org/10.1177/097265270600500201.

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18

Asem, Ebenezer, Vishaal Baulkaran, Rossitsa Yalamova e Xiaofei Zhang. "Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets". Asia-Pacific Financial Markets 24, n. 4 (9 ottobre 2017): 253–67. http://dx.doi.org/10.1007/s10690-017-9232-3.

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19

Zaibet, Lokman, Houcine Boughanmi e Qaseem Habib. "Assessing Market Efficiency". Journal of International Food & Agribusiness Marketing 17, n. 2 (29 dicembre 2005): 245–59. http://dx.doi.org/10.1300/j047v17n02_13.

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20

Longworth, David. "Exchange market efficiency". Economics Letters 18, n. 2-3 (gennaio 1985): 247–49. http://dx.doi.org/10.1016/0165-1765(85)90191-0.

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21

Lee, Namhoon, Wonseok Choi e Yuntaek Pae. "Market efficiency in foreign exchange market". Economics Letters 205 (agosto 2021): 109931. http://dx.doi.org/10.1016/j.econlet.2021.109931.

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22

Lence, Sergio, e Barry Falk. "Cointegration, market integration, and market efficiency". Journal of International Money and Finance 24, n. 6 (ottobre 2005): 873–90. http://dx.doi.org/10.1016/j.jimonfin.2005.05.002.

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23

Mobarek, Asma, A. Sabur Mollah e Rafiqul Bhuyan. "Market Efficiency in Emerging Stock Market". Journal of Emerging Market Finance 7, n. 1 (gennaio 2008): 17–41. http://dx.doi.org/10.1177/097265270700700102.

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24

Fabris, Nikola. "Efficiency-wage model". Sociologija 55, n. 3 (2013): 461–74. http://dx.doi.org/10.2298/soc1303461f.

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In classical theory, the labour market operates as any other market, that is, the supply and demand determines the equilibrium between wages and the number of employees. The Keynesians went a step further by pointing out that the labour market does not follow the same principle as other markets and that wages do not change due to numerous rigidities, i.e. that the equilibrium is not achieved with full employment. The neoclassical macroeconomics reverts to the classical theory, noting that the labour market equilibrium is achieved immediately. The weakness of these theories is that they do not sufficiently consider specific features of the labour market and/or human labour. However, the new Keynesians went a step further in this direction by developing the efficiency wage model incorporating both economic and sociological explanations in the labour market interpretation. Nevertheless, it seems that there is still enough room for further improvements of this model and the paper communicates certain suggestions to that end.

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25

Beck, Stacie E. "Cointegration and market efficiency in commodities futures markets". Applied Economics 26, n. 3 (1 marzo 1994): 249–57. http://dx.doi.org/10.1080/00036849400000006.

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26

Ohemeng, Williams, Bo Sjo e Michael Danquah. "Market Efficiency and Price Discovery in Cocoa Markets". Journal of African Business 17, n. 2 (7 febbraio 2016): 209–24. http://dx.doi.org/10.1080/15228916.2016.1142801.

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27

Chow, Sheung Chi, Yongchang Hui, João Paulo Vieito e ZhenZhen Zhu. "Market liberalizations and efficiency in Latin America". Studies in Economics and Finance 33, n. 4 (3 ottobre 2016): 553–75. http://dx.doi.org/10.1108/sef-01-2015-0014.

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Purpose This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America. Design/methodology/approach Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad and Tobago, are used in the analysis. To examine the impact of stock market liberalization on efficiency, the authors use several approaches, including the runs test, Chow–Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the stochastic dominance (SD) test, on the above Latin American stock market indices. Findings The authors find that stock market liberalization does not improve stock market efficiency in Latin America. Originality/value This investigation is among the first to examine the impact of stock market liberalization on the efficiency of the stock markets. It is among the first to examine the impact of stock market liberalization on the efficiency of the Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a SD approach on issue about efficient market.

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28

Hutapea, Gita Masria, Ahmad Fauzan Fathoni e Yulia Efni. "Investigation of Capital Market Efficiency in Indonesia". AFEBI Management and Business Review 4, n. 2 (29 dicembre 2019): 103. http://dx.doi.org/10.47312/ambr.v4i2.241.

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<em>In the midst of a national economic growth downturn that affected the capital market as a subsystem of the economy, now Indonesia capital market industry began to look at the development of the application of the principles of sharia as an alternative investment instruments in capital markets activities in Indonesia. The growth of the Islamic capital market in Indonesia is quite encouraging, but the Islamic capital market exposure is still minimal. Lack of public understanding about the Islamic capital market into doubt for investors to invest in the capital market. With the background of the problem, this research aims to investigate the level of efficiency increase of capital markets in Indonesia to see the influence of the capital market and the asymmetry of information on abnormal return. The population in this study are all listed company listed on the Stock Exchange 2014-2018 period as many as 626 companies with a total sample of 238 companies were selected based on criteria predetermined. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased.</em>

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29

Hutapea, Gita Masria, Ahmad Fauzan Fathoni e Yulia Efni. "Investigation of Capital Market Efficiency in Indonesia". AFEBI Management and Business Review 4, n. 02 (29 luglio 2020): 117. http://dx.doi.org/10.47312/ambr.v4i02.241.

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Abstract (sommario):

<em>In the midst of a national economic growth downturn that affected the capital market as a subsystem of the economy, now Indonesia capital market industry began to look at the development of the application of the principles of sharia as an alternative investment instruments in capital markets activities in Indonesia. The growth of the Islamic capital market in Indonesia is quite encouraging, but the Islamic capital market exposure is still minimal. Lack of public understanding about the Islamic capital market into doubt for investors to invest in the capital market. With the background of the problem, this research aims to investigate the level of efficiency increase of capital markets in Indonesia to see the influence of the capital market and the asymmetry of information on abnormal return. The population in this study are all listed company listed on the Stock Exchange 2014-2018 period as many as 626 companies with a total sample of 238 companies were selected based on criteria predetermined. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased. The analytical method used in this research is multiple linear regression and the results showed that the type of capital markets significant negative effect on abnormal returns and the information asymmetry significant positive effect on abnormal returns. The continued development of the Islamic capital market information asymmetry and abnormal returns are also lower so the efficiency of the capital market has also increased.</em>

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30

Milchakova, N. "Stock Market Efficiency: An Institutional Approach". Voprosy Ekonomiki, n. 5 (20 maggio 2004): 97–110. http://dx.doi.org/10.32609/0042-8736-2004-5-97-110.

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In this study the institutional approach is used to analyze the issues of stock market efficiency. Until now corporate finance theory, primarily based on the neoclassical methodology, has viewed the issue of the stock market efficiency only as a problem of information function of stock market prices. In this study we present another view that the efficiency of stock market is the efficiency of market institutions functioning and especially of its regulative institutions. Such an approach seems to be up-to-date in the context of analysis of the emerging markets experience including the Russian case where the market and regulative institutions are still in the process of forming.

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31

Hodnett, Kathleen, e Heng-Hsing Hsieh. "Capital Market Theories: Market Efficiency Versus Investor Prospects". International Business & Economics Research Journal (IBER) 11, n. 8 (1 agosto 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 behavioral finance that describe investment decisions in imperfect capital markets are presented to contrast the Utopian assumption of perfect market efficiency. The paper concludes with the argument of Hirshleifer (2001) that heuristics are shared by investors and asset prices may not reflect their long-term intrinsic values as indicated by efficient capital market theories.

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32

I, Taly. "Market Efficiency for Korean Public REITs Market". Journal of Korea Real Estate Analysists Association 22, n. 2 (30 giugno 2016): 29–40. http://dx.doi.org/10.19172/kreaa.22.2.3.

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33

Kumar, Atul, e T. V. Raman. "Testing Market Efficiency of Indian Capital Market". Review of Professional Management- A Journal of New Delhi Institute of Management 14, n. 1 (1 giugno 2016): 29. http://dx.doi.org/10.20968/rpm/2016/v14/i1/109400.

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34

Chakraborty, Madhumita. "Market Efficiency for the Pakistan Stock Market". South Asia Economic Journal 7, n. 1 (marzo 2006): 67–81. http://dx.doi.org/10.1177/139156140500700104.

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35

Oak, Seonghee, e William Andrew. "Market Efficiency in Hotel Real Estate Market". Journal of Hospitality Financial Management 10, n. 1 (settembre 2002): 91. http://dx.doi.org/10.1080/10913211.2002.10653763.

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36

Jansen, Benjamin. "Conditional violation of weak-form market efficiency". Managerial Finance 46, n. 7 (12 marzo 2020): 935–54. http://dx.doi.org/10.1108/mf-06-2019-0306.

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PurposeMany prior tests of market efficiency, which occurred decades ago, were limited by data and did not employ methodology to correct for leptokurtosis in the stock return distribution. Furthermore, these studies did not test many aspects of conditional market efficiency. One aspect of a potential conditional violation of market efficiency is whether stock markets are efficient conditional on the level of stock return.Design/methodology/approachThis paper uses quantile regressions to control for leptokurtosis in the stock return distribution and simultaneous quantile regressions to test whether markets are efficient conditional on the level of the market return. This paper uses market-level stock return data to bias against finding significant results in the efficiency tests. Furthermore, the author uses data from 1926 through 2018, providing the longest time period to date under which market efficiency is tested.FindingsThis paper presents evidence that the autoregressive coefficient decreases across return levels in stock market indices. The autoregressive coefficient is positive around highly negative returns and negative or insignificant around highly positive returns, which suggests that when stock returns are low they are more likely to continue lower, and when stock returns are high they are more likely to reverse. Results additionally suggest that market efficiency is not time-invariant and that stock markets have become more efficient over the sample period.Originality/valueThis paper extends the literature by finding evidence of a violation of weak-form market efficiency conditional on the level of stock returns. It further extends the literature by finding evidence that the stock market has become more efficient between 1926 and 2018.

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37

Mohd Nor, Safwan, e Guneratne Wickremasinghe. "Market efficiency and technical analysis during different market phases: further evidence from Malaysia". Investment Management and Financial Innovations 14, n. 2 (21 agosto 2017): 359–66. http://dx.doi.org/10.21511/imfi.14(2-2).2017.07.

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The profitability of simple technical trading rules remains an interesting topic and has been thoroughly explored in the literature. In this paper, the authors investigate the profitability of two popular moving average (MA) rules in the Bursa Malaysia before, during and after the global financial crisis (GFC) of 2008-2009. Using variable length MA (VMA) and fixed length MA (FMA) technical rules, the authors explore if there were differences in their performance during the different market phases, and if swing traders can gain by trading on the basis of these strategies. When practical trading constraints are considered, the authors find that MA rules performed differently during the three market phases. Over time, the forecasting powers of these rules have diluted and they have performed poorly in the most recent subsample. The findings suggest that the Malaysian stock market is gradually becoming more efficient. This outcome can be attributed to the technological advancements and widespread use of exchange traded funds.

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C. Huang, Carol. "Does rapid market growth enhance efficiency? An evaluation of the Chinese mutual fund market". Investment Management and Financial Innovations 16, n. 2 (5 luglio 2019): 383–94. http://dx.doi.org/10.21511/imfi.16(2).2019.32.

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In recent years, China’s mutual fund market has grown exponentially. With hundreds of new funds introduced into the market each year, an essential question to ask is whether this voluminous growth promotes funds’ efficiency, as funds compete for investment. To overcome the drawbacks of traditional portfolio performance metrics, this study utilizes a non-parametric model, data envelopment analysis (DEA), to assess the relative efficiency of equity and hybrid funds for 2016–2018. The empirical results show that despite the development in the fund industry, only a small portion of the funds are fully efficient. While efficiency improvement is observed in equity funds, the efficiency in hybrid funds actually deteriorates. On average, equity funds are more efficient and persistent in performance than hybrid funds. The empirical results also indicate that the primary areas of inefficiency are downside risk management and fund fee structures. For hybrid funds, fund size is also related to efficiency performance. The findings of this study offer implications for how to strengthen the development and stability of the Chinese mutual fund market.

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Akbas, Ferhat, Will J. Armstrong, Sorin Sorescu e Avanidhar Subrahmanyam. "Capital Market Efficiency and Arbitrage Efficacy". Journal of Financial and Quantitative Analysis 51, n. 2 (aprile 2016): 387–413. http://dx.doi.org/10.1017/s0022109016000223.

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AbstractEfficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relation between flows to a quantitative (quant) strategy that is based on capital market anomalies and the subsequent performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively, which in turn leads to lower profitability of market anomalies in the future, and vice versa. Thus, the degree of cross-sectional equity market efficiency varies across time with the availability of arbitrage capital.

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40

Boutabba, Islem Ahmed. "Testing financial market efficiency". JOURNAL OF SOCIAL SCIENCE RESEARCH 3, n. 3 (30 aprile 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 the studied indices time series do not follow a random walk, and therefore we reject the financial markets efficiency hypothesis in its weak form. This result corroborates those of Fama and French (1992.993), DeBondt and Thaler (1985), Lo and MacKinlay (1991), Jagadeesh and Titman (1993) and Shleifer and Vishny (1997). Therefore, financial markets efficiency hypothesis in its weak form is also rejected. This result is logical given the limited capacity of the classical theory in explaining abnormal returns such as bubbles, crashes and excess volatility

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Boutabba, Islem. "Testing financial market efficiency". JOURNAL OF SOCIAL SCIENCE RESEARCH 4, n. 2 (4 giugno 2014): 548–63. http://dx.doi.org/10.24297/jssr.v4i2.3151.

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Abstract (sommario):

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 the studied indices time series do not follow a random walk, and therefore we reject the financial markets efficiency hypothesis in its weak form. This result corroborates those of Fama and French (1992.993), DeBondt and Thaler (1985), Lo and MacKinlay (1991), Jagadeesh and Titman (1993) and Shleifer and Vishny (1997). Therefore, financial markets efficiency hypothesis in its weak form is also rejected. This result is logical given the limited capacity of the classical theory in explaining abnormal returns such as bubbles, crashes and excess volatility.

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42

MAEKAWA, Shunichi. "Efficiency of Housing Market". Japanese Journal of Real Estate Sciences 18, n. 1 (2004): 22–28. http://dx.doi.org/10.5736/jares1985.18.22.

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43

Jost, Kathryn Dixon. "Liquidity and Market Efficiency". CFA Digest 38, n. 3 (agosto 2008): 51–52. http://dx.doi.org/10.2469/dig.v38.n3.22.

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44

Boya, Christophe. "Testing capital market efficiency". Global Business and Economics Review 19, n. 2 (2017): 194. http://dx.doi.org/10.1504/gber.2017.082586.

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Boya, Christophe. "Testing capital market efficiency". Global Business and Economics Review 19, n. 2 (2017): 194. http://dx.doi.org/10.1504/gber.2017.10002783.

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46

Locke, Stuart M. "Real estate market efficiency". Land Development Studies 3, n. 3 (settembre 1986): 171–78. http://dx.doi.org/10.1080/02640828608723910.

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Munteanu, Anca, e Andreea Pece. "Investigating Art Market Efficiency". Procedia - Social and Behavioral Sciences 188 (maggio 2015): 82–88. http://dx.doi.org/10.1016/j.sbspro.2015.03.341.

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Ratchford, Brian T., e Pola Gupta. "On estimating market efficiency". Journal of Consumer Policy 15, n. 3 (settembre 1992): 275–93. http://dx.doi.org/10.1007/bf01017577.

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CHORDIA, T., R. ROLL e A. SUBRAHMANYAM. "Liquidity and market efficiency☆". Journal of Financial Economics 87, n. 2 (febbraio 2008): 249–68. http://dx.doi.org/10.1016/j.jfineco.2007.03.005.

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