دانلود مقاله ISI انگلیسی شماره 46027
ترجمه فارسی عنوان مقاله

به سوی یک چارچوب جدید در بازارهای کارآمد

عنوان انگلیسی
Towards a new framework on efficient markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
46027 2015 15 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Research in International Business and Finance, Volume 34, May 2015, Pages 294–308

ترجمه کلمات کلیدی
فرضیه بازار کارآمد - کارایی بازار شکل ضعیف - فرضیه بازار تطبیقی - آزمون نسبت واریانس
کلمات کلیدی انگلیسی
Efficient market hypothesis; Weak form market efficiency; Adaptive market hypothesis; Variance ratio tests
پیش نمایش مقاله
پیش نمایش مقاله  به سوی یک چارچوب جدید در بازارهای کارآمد

چکیده انگلیسی

Academic research on the efficiency of financial markets goes back several decades. Empirical evidence is mixed and academia is torn between two opposing convictions: the efficient market hypothesis (EMH) vs. behavioural finance. The recent Nobel Prize awarded to scholars from both sides of the debate confirms the stalemate. We apply multiple state-of-the-art efficiency tests in rolling windows of one year to leading global stock market indices to test the adaptive markets hypothesis (AMH), a proposed reconciling framework. We find the idea of dynamic and time-variant efficiency to be valid. Also the theoretical pattern of efficiency predicted by the AMH is in line with our results. Furthermore, we find that the effect of the most recent financial crisis on weak form market efficiency is most prominent on the U.S. stock market. The European and Japanese markets appear more consistently efficient over the course of the last 15 years.