Efficient Market Hypothesis

In this paper, the authors maintain that the prevalence of technical analysis in professional investment argues that such techniques should perhaps be taken more seriously by academics. They use the new technique of genetic programming to investigate a long time series of price data for a quoted property investment company, to discern whether there are any patterns in the data which could be used for technical trading purposes. A successful buy rule is found which generates returns in excess of what would be expected from the bestfitting null time-series model. Nevertheless, this turns out to be a more sophisticated variant of the buy and hold rule, which the authors term timing specific buy and hold. Although the rule does outperform simple buy and hold, it really does not provide sufficient grounds for the rejection of the eficeint market hypothesis, though it does suggest that further investigation of the specific conditions of applicablity of the EMH may be appropriate.

The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market

The United States acute care hospital (ACH) market provides a unique environment in which to examine questions about market structure and performance.  The ACHs operate in a mature market of health services that is highly regulated and
has one dominant primary consumer of services. The uncharacteristic industry structure offers the opportunity to analyze pervasive agency relationships and capital structure issues in a new setting. In addition, the policies of the U.S. Government have created an environment in which tacit collusion is likely to flourish, which leads to market buyer power (monopsony, or buyers acting as one monopoly buyer). A key
question is the extent to which monopsony and agency affect capital structure decisions. Agency is defined by Ross (1973, p.134) as a relationship formed between a principle and their agents, “when one, designated as the agent, acts for, on behalf of, or as representative for the other, designated the principal, in a particular domain of decision problems.” This thesis extends the agency framework provided by Jensen and Meckling (1976), along with the econometric understanding of monopsony in healthcare via tacit collusion, as suggested by Pauly (1998) and Sevilla (2005), and the research constraints of monopsony under an all-or-nothing contract, as outlined by Taylor (2003). Using data on ACHs from the period of 1995 to 2007 for approximately 5,000 ACHs, which was derived from the Medicare Cost Report and medical payments for a sub-population of 1,500, this research examines the determinants of capital structure in a distorted market. Building upon this initial analysis, the research seeks to
examine the effects of market distortions upon free cash flow, and ultimately, capital structure. Two theories of distortion are presented that would affect free cash flow: The first is that of the agency cost of free cash flow and signaling, and the second is a theory of monopsony via tacit collusion between buyers.
A model of the agency relationship between ACHs and the U.S. Government is proposed, promoting agency cost (signaling and the agency cost of free cash flows) as a causal relation with free cash flows and capital structure (Jensen & Meckling 1976; Jensen 1986). Empirical models of agency are constructed, examining the dependence on government business and the relation to the leverage (signaling) and free cash flows (agency cost of free cash flows) for ACHs. In addition, a complementary theory of capital structure determinant via market power
(monopsony) is formulated, suggesting that monopsony conditions within the ACH market affect free cash flows and capital structure. The analysis provides a framework
for understanding the environments in which ACHs operate and the strength of bargaining within the market. The research concludes with a review of the determinants of capital structure in light of the inefficiencies and distortions of the industry and the relationships observed.

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an overreaction day prices tend to move in the same direction for some time.  A trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the FOREX and the commodity markets, but it is profitable in the case of the US stock market. By contrast, a strategy exploiting the “inertia anomaly” produces profits in the case of the FOREX and the commodity markets, but not in the case of the US stock market.

The deficiency in the availability of petroleum products has given rise to the incorporation of electric vehicles (EVs) globally as a substitute for the conventional transportation system. Significant research has been pursued over last two decades in the development of efficient EV charging methods. A preliminary review of few methods developed for wireless charging revealed that ICPT is a promising and convenient method for the wireless charging of EVs. This paper includes the equivalent circuit analysis and characteristics of the ICPT system and focuses on the research progress in respect of the designs for the charging coil, leakage inductance compensation topologies, power level enhancement and misalignment toleration. The improvement in these factors has been essential for the implementation of EV charging. A brief discussion over design process and control of ICPT system has been added. Conclusions have been made on the basis of the information extracted from the literature a...

Four cases of U.S. equity market bubbles and corrections are reviewed to assess the validity of the efficient markets hypothesis. They are the 1929 episode, the 1970s case, the October 1987 meltdown, and the late 1990s bubble. The S&P 500 price index, excluding dividends, is analyzed in real terms to assess the efficiency of the market through these various episodes.The finding of this paper is that, although policy actions probably accounted for much of the decline in equity prices in 1929 and in the 1970s, it could not account for all of it. The declines in 1987 and 2000-2002 seem unconnected to government policy or real economic variables. Hence fundamental mispricing of equities, persisting in some cases for years, appears evident.

В статье рассмотрены основные положения теорий динамики рынков, в частности, гипотезы эффективного рынка, гипотезы когерентного рынка, гипотезы фрактального рынка и гипотезы синергетического рынка. Проанализированы инструменты фрактального рынка для принятия на их основе обоснованных инвестиционных решений. Приведены и обоснованы инструменты технического анализа, основанного на игре за трендом для прогнозирования динамики рынка, согласно гипотезе фрактального рынка, в частности, волновую модель Эллиотта и применения нейро-нечетких моделей.
Ключевые слова: эффективный рынок, когерентный рынок, фрактальный рынок, синергетический рынок, технический анализ

This paper studies time-varying market efficiency in twenty emerging and five developed equity markets for the period covering from January 2000 to June 2017 by using daily returns from MSCI indices and draws a comparison between emerging and developed market efficiency. I used four methods to test for efficiency in emerging market, GARCH-M (1,1) model (Generalised autoregressive conditional heteroscedasticity in mean) to test degree of volatility over the time, Autocorrelation test to test for correlation between two values, Runs test to test for randomness of values and Long memory by using rolling regression estimates. The results from these tests show that, most of the emerging markets are inefficient in weak form and developed markets are efficient in weak form. Some of the emerging markets like Brazil, India, China, Taiwan, Korea and Turkey show significant improvement in recent years. Comparison between emerging and developed market reveals that, information flows efficiently and symmetrically in developed markets compare to emerging markets. In addition, I observed that subprime crisis had a huge impact on emerging markets and created economic imbalance around the world.

This study investigates the ability of Monte Carlo simulation (MCs) to predict stock market returns in Amman Stock Exchange (ASE). Specifically, we compare the in-sample forecasting ability of MCs with the Simple and Exponential Moving average techniques. The data of the study consists of the daily general float index of ASE over the period (2003-2012). Forecasting accuracy is measured by four proxies: Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and Theil Inequality Coefficient (U). The results indicate that MCs is the most accurate forecasting technique among the others investigated. Moreover, ASE seems to be inefficient at the weak level, given that technical analysis approaches enable investors to predict stock market returns.

The present paper tries to establish the impact of various macroeconomic variables on the performance of the Islamic stock market for India. Compatible with the Efficient Market Hypothesis (EMH), a number of macroeconomic variables have been documented to impact the performance of the stock market. The Arbitrage Pricing Theory (APT) laid the theoretical basis for the relationship between stock returns and macroeconomic variables which has been later on empirically tested by a large number of studies. We have used the Ordinary Least Square (OLS) Regression to study the impact of macroeconomic variables including inflation, industrial production, exchange rate, interest rates and money supply on the Islamic stock returns. The various diagnostic tests including the Breusch-Godfray Serial Correlation Lagrange Multiplier (LM) test, the Breusch-Pagan-Godfray test and the Jarque-Berra test have been used to check whether the residuals of OLS are pure white noise. The findings of our study suggest that exchange rate and interest rates have a significant impact on the Islamic stock market. The implications of the study are that exchange rates and interest rates should be controlled so as to improve the performance of the Islamic stock market in India.

"Whether path dependence 'exists' or not remains an unresolved question - but it is also a misformulated one. The paper demonstrates that the key issue is methodological, not ontological, and that management and organization scholars have been using inadequate research designs in the past to capture path dependence. The paper draws on recent research to explain why the QWERTY case does not provide evidence for path dependence, and provides clear methodological guidelines regarding which methods should be used in the future to fruitfully explore path dependence in the social sciences. Overall, the paper offers an alternative to both the 'sceptics' who claim that path dependence is a myth and the 'believers' who highlight the huge implications of path dependence, but fail to provide convincing evidence that it actually exists as a distinctive process leading to lock-in.

High Frequency Trading (HFT) is a form of algorithmic trading where firms use high-speed market data and analytics to look for shortterm supply and demand trading opportunities that often are the product of predictable behavioral or mechanical characteristics of financial markets. Often called "equity market making," HFT firms usually hold their positions for less than a minute while perpetually looking for opportunities to buy and sell. These transactions happen thousands of times a day, take microseconds, and often net less than a penny in profit per share traded.

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear dependence suggesting that the Indian stock market switched between periods of efficiency and inefficiency. In contrast, the results from nonlinear tests reveal a strong evidence of nonlinearity in returns throughout the sample period with a sign of tapering magnitude of nonlinear dependence in the recent period. The findings suggest that Indian stock market is moving towards efficiency. The results provide additional insights on association between financial crises, foreign portfolio investments and inefficiency.

This study investigates the existing literature in the field of Indian Stock Market Anomalies. The focus of the literature survey is to review these various stock market anomalies that were experimental over time in different stock indices in India. The Anomalies analysed in this literature survey include the Day-of-the week-effect, Weekend Effect, Turn of the Month Effect, Semi-Month Effect, Holiday Effect, and January Effect. Indian stock market indices have been studied and analysed to find evidence for the existence of these anomalies in Indian stock markets. Keywords: Anomalies, Day-of-the week-effect, Weekend Effect, Turn of the Month Effect, Semi-Month Effect, Holiday Effect, and January Effect.

This study seeks to identify the potential conflicts of interest inherent in real estate transactions between a commercial tenant and a prospective landlord; evaluate the legal, regulatory, and industry mechanisms in place to protect the interests of commercial tenants through professional representation in these transactions; and where necessary, make recommendations for how such tenant protections might be strengthened to assure an arm’s length transaction between the parties, thereby optimizing the functioning of the commercial real estate marketplace.

his study examined share returns following unexpected corporate announcements that are described as profit warnings. The study tested whether there are abnormal returns on share prices after the announcement of profit warnings. The report is based on the 56 companies quoted on the Nairobi Securities Exchange (NSE) and samples drawn from companies that have issued profit warnings. The research design used was the event study which assessed the impact of an event on the value of a firm. This research used the one hundred and fifty days event window where twenty days are prior and twenty days are after the profit warning announcement. Event study methodology, student T-test before event date and Average Abnormal Return (AAR) significance from zero were used to analyze data collected on daily stock prices. The result of this research indicates that profit warning has impact on the stock return in the NSE and the impact is negative and significant for the period of pre-warning and post-warning and on the day of actual announcement. There are also indications of information leakages where there were negative abnormal returns days before the profit warning announcements. Based on this research, the recommendation to the investors or practitioners in the NSE is that profit warning announcements are information events that influence the investment decision and should thus expect negative abnormal responses of share prices following such announcements but further studies may be commissioned to confirm or disapprove our findings.

Abstract This paper analyzes the factor zoo, which has theoretical and empirical implications for finance, from a machine learning perspective. More specifically, we discuss feature selection in the context of deep neural network models to predict the stock price direction. We investigated a set of 124 technical analysis indicators used as explanatory variables in the recent literature and specialized trading websites. We applied three feature selection methods to shrink the feature set aiming to eliminate redundant information from similar indicators. Using daily data from stocks of seven global market indexes between 2008 and 2019, we tested neural networks with different settings of hidden layers and dropout rates. We compared various classification metrics, taking into account profitability and transaction costs levels to analyze economic gains. The results show that the variables were not uniformly chosen by the feature selection algorithms and that the out-of-sample accuracy rate of the prediction converged to two values — besides the 50% accuracy value that would suggest market efficiency, a “strange attractor” of 65% accuracy also was achieved consistently. We also found that the profitability of the strategies did not manage to significantly outperform the Buy-and-Hold strategy, even showing fairly large negative values for some hyperparameter combinations.

The purpose of this research is to know whether or not stock prices follow Geometric Brownian Motion (GBM) in Indian stock markets. In this connection, this study has attempted to examine whether or not the simulated stock prices demonstrate accuracy of prediction relative to the actual stock prices. One-year, three-year, and five-year data of the historical stock prices of 42 stocks constituted in S&P BSE Sensex 50 Index were used as sample of the study. The data were extracted from Bloomberg database. This research has shown that the GBM Monte Carlo simulation is effective in predicting future stock prices of three-month period based on the historical data of stock prices of the past one year. This study is original in the Indian context as it has positioned GBM method of Monte Carlo simulation against the theoretical premises of the theories of bounded rationality and efficient market hypothesis.

It is My Master thesis. The aim of this study is to answer the following question: Which method of analysis; technical analysis or fundamental analysis is more credibility in the prediction value of share (price and returns). To achieve this objective, the study method used a Pooled Cross Sectional and Time Series Analysis of the data. The application on a sample arbitrary consisting of (37) Company is a non financial and listed in the Egyptian Exchange (EGX), which represent more companies traded and active in EGX, and during the period 1998-2009 (yearly intervals). The conclusion of study reveals to a significant difference between the results of the Technical analysis and fundamental analysis in relation to the value of share (price and returns) in EGX, for the benefit the technical analysis approach, this result is consistent with some of the studies, which applied in the emerging financial markets.

This paper explores the foundations of the Fractal Market Hypothesis. It explores the theoretical framework that a fractal view of markets provides while critiquing the wisdom of modern efficient market theories. This paper also delves into the building blocks of Fractal Financial Theory by examining the theories of Chaos and Complexity and how these concepts manifest themselves in today’s financial markets.

The research empirically examines the stock market’s reaction to M&A announcements
on the Zimbabwe Stock Exchange (ZSE) over the period, 2009 to 2017. The research consist of fourdifferent types of M&A namely horizontal, conglomerate, cross border and an acquisition of anon-listed entity. Basing on the Efficient Market Hypothesis (EMH), the study used the widelyadopted Event Study Methodology (EVM) to determine the existence of abnormal returns (AR)and cumulative abnormal returns (CAR) following M&A announcements hence assessed the semi-strong form efficiency of the local bourse on such news. t-Tests were run at 95%confidence level to determine the significance of abnormal and cumulative abnormal returns.The empirical results show that significant AR and CAR have been negative for acquiring firmsand positive for target firms conforming to general market reactions to M&A announcementsas presented by past studies. The irregular AR and CAR patterns across counters suggest thatinvestors do not quickly react to M&A news possibly inferring a weak form efficiency of the ZSE. There appears to be share price reactions days leading to the announcement, confirmedwith significant pre-announcement period CAR, this suggests that there are informationleakages prior to public announcement. Based on these results, it can be concluded that thelocal stock market significantly reacts to M&A announcements and that the ZSE exhibits aweak form efficient on M&A announcements.

A Teoria ou Hipótese da Eficiência de Mercado é um dos pilares da Moderna Teoria de Finanças, está baseada na premissa de que os preços dos títulos refletem instantaneamente todas as informações relevantes disponíveis no mercado e tem sua origem nos estudos sobre o comportamento dos preços de títulos iniciados no começo do século XIX e seqüenciados no decorrer do século XX. Na década de 60 foi formalizada matemática e economicamente, passando desde então a ocupar um lugar de destaque em debates no universo acadêmico. O mercado de capitais brasileiro ainda carece de estudos que contemplem a sua eficiência, principalmente a partir de 1994, quando a economia passou a apresentar uma relativa estabilidade econômica e monetária, e transformações significativas em sua estrutura econômicofinanceira. O artigo faz uma sistematização da Teoria da Eficiência de Mercado e uma síntese de estudos empíricos no mercado brasileiro, visando a obter indícios da evolução de sua eficiência informacional, além de tecer algumas considerações.

economic
agent which differs from the ‘homo economicus’ of traditional finance theory. Systematized
are the more realistic assumptions regarding human decision making which stem from research
in cognitive psychology and increasingly experimental economics. Outlined are implications for a
methodologically more advanced public finance. Possibilities for enhanced economic policy recommendations
are derived.

This is an Executive Summary of the November 2014 research study report, “Conflicts of Interest in Commercial Real Estate Transactions: Who Represents the Tenant?”

The research study was undertaken by the Center for Real Estate and Urban Analysis (CREUA), at The George Washington University School of Business (GWSB), under the direction of two GWSB professors: Project Director Christopher B. Leinberger and Research Director, Principal Author, and Project Manager Peter E. Smirniotopoulos. The research study sought to identify the potential conflicts of interest inherent in real estate transactions between a commercial tenant and a prospective landlord; evaluate the legal, regulatory, and industry mechanisms in place to protect the interests of commercial tenants through professional representation in these transactions; and where necessary, make recommendations for how such tenant protections might be strengthened to assure an arm’s length transaction between the parties, thereby optimizing the functioning of the commercial real estate marketplace.

Akuntansi berkembang sejalan dengan perkembangan masyarakat. Sejarah perkembangan akuntansi berjalan secara menarik kalau kita lihat dari awal terjadinya pencatatan. Dikatakan menarik karena orang pertama yang melakukan pencatatan justru bukan dari seorang ahli akuntansi pada saat itu, melainkan dari seorang ahli matematika yang bernama Luca Pacioli (1494) yang awal pencatatan dimulai dari adanya dua kegiatan penting yang dilakukan oleh para bangsawan saat itu, yakni kegiatan pencatatan penarikan pajak/pendapatan sewa dan kegiatan pencatatan perjalanan perdagangan per 1 kali jalan Pada periode pertama akuntansi hanyalah bentuk record-keeping yang sangat sederhana, maksudnya hanyalah bentuk pencatatan dari apa saja yang terjadi dalam dunia bisnis saat itu. Periode kedua merupakan penyempurnaan dari periode pertama, dikenal dengan masa lahirnya double-entry bookkeeping. Pada periode terakhir banyak sekali perkembangan pemikiran akuntansi yang bukanlagi sekedar masalah debit kiri – kredit kanan, tetapi sudah masuk ke dalam kehidupan masyarakat. Pada perkembangan selanjutnya, adanya perkembangan teknologi menjadikan para pengguna akuntansi untuk tidak sekedar memahami akuntansi sebagai alat hitung menghitung dan sumber informasi dalam pengambilan keputusan, tetapi juga sampai ke pemikiran bagaimana akuntansi diterapkan baik secara praktik maupun teori. Lalu, muncullah beberapa pemahaman-pemahaman mengenai teori akuntansi. Pemaparan teori akuntansi didasarkan atas orientasi perkembangan akuntansi positif dan akuntansi normatif. Teori akuntansi positif dijelaskan secara lebih terpirinci dalam William Scott, sedangkan akuntansi normatif dapat dipelajari dalam Suwardjono. Jika dikaitkan dengan pendefinisian akuntansi sebagai seni, sains atau teknologi. Teori akuntansi positif berkaitan erat dengan pendefinisian akuntansi sebagai sains. Jadi akuntansi sebagai sains dimaknai atas dasar pengamatan empiris, sehingga menjelaskan fenomena seperti apa adanya dan bebas nilai. Akuntansi positif lebih menekankan pada mendapatkan kebenaran tentang suatu fenomena dengan menerapkan metode ilmiah, tanpa menggunakan pertimbangan nilai.

Efficiency of markets has been much debated and theory evolved from the efficient market hypothesis (EMH) in its three forms to the adaptive market hypothesis (AMH). We study the US technology sector, finding that stocks traded inefficiently during the financial crisis and rejecting the conventional all-or-nothing EMH in favour of the AMH. We also analyse Bitcoin, rejecting a move-to-efficiency as suggested by EMH literature and showing support for the AMH. Finally, we apply an original Double Runs Test to high-frequency Bitcoin prices to develop the notion of sticky efficiency and show that it exists in the Bitcoin market.

The study tests the reaction of Bahrain Bourse to 2014 annual financial results announcement. The study is based on 30 companies. The researcher used event study methodology. The behaviour of average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) are examined for 30 days prior to and 31 days after the announcement of annual financial results. Runs test, sign test and t-test statistics on AARs are statistically not significant. However, t-values on CAARs are statistically significant. Therefore, we conclude that Bahrain Bourse is not efficient in the semi-strong form. The findings help regulators to initiate measures to ensure market efficiency.

Since the mid-1970s, hundreds of academic studies have been conducted in risk perception-oriented research within the social sciences (e.g., nonfinancial areas) across various branches of learning. The academic foundation pertaining to the "psychological aspects" of risk perception studies in behavioral finance, accounting, and economics developed from the earlier works on risky behaviors and hazardous activities. This research on risky and hazardous situations was based on studies performed at Decision Research (an organization founded in 1976 by Paul Slovic) on risk perception documenting specific behavioral risk characteristics from psychology that can be applied within a financial and investment decision-making context. A notable theme within the risk perception literature is how an investor processes information and the various behavioral finance theories and issues that might influence a person's perception of risk within the judgment process. The different behavioral finance theories and concepts that influence an individual's perception of risk for different types of financial services and investment products are heuristics, overconfidence, prospect theory, loss aversion, representativeness, framing, anchoring, familiarity bias, perceived control, expert knowledge, affect (feelings), and worry. Ricciardi, Victor, The Psychology of Risk: The Behavioral Finance Perspective. HANDBOOK OF FINANCE: VOLUME 2: INVESTMENT MANAGEMENT AND FINANCIAL MANAGEMENT, Frank J. Fabozzi, ed., John Wiley & Sons, pp. 85-111, 2008.

Keywords: risk, perception, risk perception, perceived risk, judgment, decision making, behavioral decision theory (BDT) , behavioral accounting, standard finance, behavioral finance, behavioral economics, psychology, efficient market hypothesis, rationality, bounded rationality, classical decision theory

Market Efficiency Theory & Hypothesis. - Materi Bahasan dalam Presentasi: Konsep, Bentuk, Asumsi, dan Pengujian terhadap Efisiensi Pasar. - © 2017 by Angga Bagas Samudra, (Accounting, Economics and Business Faculty, Brawijaya University 2014). All rights reserved. [Written in Bahasa Indonesia]

This thesis investigates the value of technical analysis by considering momentum theory. The application of a conventional empirical test framework yields simulated momentum investment returns that are largely aligned with those of other scholars. The thesis thereby supports that anomalous profits can be derived from technical analysis or as in this case more specifically from momentum investing. The thesis moves beyond the traditional confinements of master level research as it expands the current field of scientific inquiry. This is done by identifying weaknesses in the existing body of research and suggesting, testing and validating potential improvements. The thesis offers new insights into the true nature of the
anomalous momentum returns by mitigating survivorship bias and by quantifying the true effect of market capitalization meanwhile extending the conventional test framework with risk assessment related to volatility and idiosyncratic industry specific exposure. It constructs an enhanced momentum portfolio setup that delivers 9947% return over the 15,5 years
leading up to 31/12/2015 by harnessing the power of size ­based momentum returns and discontinued time series.

An organization has two essential elements that form the overall worth of that organization, that is it’s the equity and debt. For business executives to expose their entities to public ownership, there is the need to sell out ownership of parts of these entities, in the form of shares/ stocks and/or bonds, to generate revenue for the operation of the business. The question therefore is; how can businesses get these stocks and bonds out there for public patronage? This is where the capital market comes in.
Capital market is structured to serve as a platform for the sales and purchase of stocks and bonds. Diverse speculations and intellectual theories have been formulated around capital market, among which one of the most notable one was the Efficient Market Hypothesis (EMH), propounded by Eugene Fama in the 1960s. Concisely, the EMH ascertains that all information for sellers and purchasers of stocks are available in the prices of the stocks/ securities, hence, the exceptional performance of a security exclusively attributed to the investor is purely based on chance and not skill. This paper analyzes the Market efficiency theories and concepts.

The deficiency in the availability of petroleum products has given rise to the incorporation of electric vehicles (EVs) globally as a substitute for the conventional transportation system. Significant research has been pursued over last two decades in the development of efficient EV charging methods. A preliminary review of few methods developed for wireless charging revealed that ICPT is a promising and convenient method for the wireless charging of EVs. This paper includes the equivalent circuit analysis and characteristics of the ICPT system and focuses on the research progress in respect of the designs for the charging coil, leakage inductance compensation topologies, power level enhancement and misalignment toleration. The improvement in these factors has been essential for the implementation of EV charging. A brief discussion over design process and control of ICPT system has been added. Conclusions have been made on the basis of the information extracted from the literature and some future recommendations are provided.

This short paper establishes the credibility and viability of this research topic to progress towards a PhD award through further research.

The original contribution of the work proposed can be summarised as; (1) the analysis of 2002-2014 dual listed company (DLC) panel trading data, (2) investigation into the explanatory power of both implied and historical stock and index volatility (available since 2008) regarding changes in DLC spreads, (3) linkage between established DLC’s and emerging Chinese Hong-Kong DLC’s and (4) establishing commonalities in value distortion between DLC’s and other financial instruments and structures.

This research has implications for the Law of One Price, the efficient market hypothesis, noise trading theory, international capital markets, trading profitability and the distortion of equity values by geographic locality.

This paper reviews and summarizes the work of Sewell (2011). The purpose is to investigate the evolution and development of the Efficient Market Hypothesis from its inception as theory of probability to Fama (1965) proposition and revision (Fama, 1970; 1991). It discusses the random walk theory and reports the various research papers that have been written on the subject. This paper also clarifies the debate on the validity of EMH and explains the importance of EMH to finance theory.

This note is a further commentary on a previous paper on the chaos theory of stock returns that derives from the alleged detection of persistence in time series data indicated by values of the Hurst exponent H that differs from the neutral value of H=0.5 implied by the efficient market hypothesis (EMH) (Munshi, 2014). A comparison of four different methods for estimating H is presented. Linear regression of log transformed values (OLS) is compared against a numerical approach using the generalized reduced gradient (GRG) method. These methods are applied to two different empirical models for the estimation of H. We find that the major source of error in the empirical estimation of H is the insertion of the extraneous constant C into the empirical model.

Indonesia is one of the emerging financial market in the world (Spiro, 2018). The archipelago country has promising economic growth, supported by the fact that Indonesia has the potential resource to develop their macroeconomic situation in the future. Despite the strength that belongs to the country currently under Joko Widodo’s regime, Indonesia has hit the lowest level of its currency, Rupiah in 31-months. It is reported that Rupiah knocked down against US Dollar and the international investors had dumped US$3.4 billion of stocks and bonds since the start of April. In fact, 40% of Indonesia’s government bonds were held by foreign investors. Thus, it is expected that studying Indonesia’s financial market will encourage the local investors to deposit their funds. When the financial market is no longer dominated by foreign investors, it is predicted that Rupiah will strengthen significantly over a period of time.
Particular conditions that happen in the market possibly create an effect to the random walk theories. When one period returns repeat and creating a pattern, the assumption of independent and identical distribution will be adjusted. For example, a huge change in price pattern will be followed by large daily changes in the market as well. The pattern of expected returns then utilized by investors to predict future gains, thus the violations of the random walk could be explained by behavioural theory. A momentum strategy is a method that involved categorization between winner and loser stocks or glamour and value stocks. The behavioural explanations for momentum strategy prove that investors may become irrational, and it contradicts with Efficient Market Hypothesis.
Using IDX monthly return data from 2004 to 2017 that were collected from Yahoo Finance, this study is expected to construct past winners and past losers’ group from LQ-45 index. The parameter to determine a stock as LQ-45 are have been included as the top 60 companies with the highest market capitalization, included as the top 60 companies with the highest transaction value in regular market for 12 months, have been listed in Indonesia Stock Exchange for at least 3 months, and have good financial conditions and prospect of growth. Therefore, the sample was constructed as 15 firms out of 45.
This study appears to show that momentum strategy is ineffective in the Indonesian stock market. The factors that support this argument are: Indonesia stock market is emerging, so it is volatile and momentum strategy is hard to investigate. The samples of the study gathered from reliable index LQ-45 that means the samples are already the winner of Indonesia stock market, and diversified industries in Indonesian seems cannot be exploited by momentum trader to gain future return.