A multidimensional classification of market anomalies: Evidence from 76 price indices
AbstractThis paper makes the first attempt to present explicit empirical evidence that market inefficiency can be multi-dimensional. Testing the Efficient Market Hypothesis (EMH) over 76 stock indices using 17 best established indicators (e.g. runs test), we show that most indices exhibit some type(s) of anomaly and that indicators differ from each other in terms of statistical power and/or the type of anomaly detected. A principal components analysis (PCA) demonstrates that indicators group along orthogonal dimensions, and hence a market can exhibit short-term memory, long-term memory and/or calendar effects, which are all distinct sources of possible inefficiency. This research presents statistical evidence on the extent and nature of market inefficiency, offers possible explanations for conflicting previous findings, and provides new insights into studying market efficiency.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 22 (2012)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/locate/intfin
Market efficiency; EMH; Stock indices; Statistical tests; Multi-dimensional;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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