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Market Efficiency and News Dynamics: Evidence from International Equity Markets

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  • Thomas C. Chiang

    (Department of Finance, LeBow College of Business, Drexel University, Philadelphia, PA 19104, USA)

Abstract

This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence of market volatility correlations. The null for testing the absence of correlations between stock returns and lagged news measured by lagged economic policy uncertainty (EPU) is rejected for all markets under investigation. The evidence indicates that a change of lagged EPUs positively predicts conditional variance.

Suggested Citation

  • Thomas C. Chiang, 2019. "Market Efficiency and News Dynamics: Evidence from International Equity Markets," Economies, MDPI, vol. 7(1), pages 1-17, February.
    • Handle: RePEc:gam:jecomi:v:7:y:2019:i:1:p:7-:d:202794
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    Cited by:

    1. Wing-Keung Wong, 2020. "Editorial Statement and Research Ideas for Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-4, February.
    2. Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.
    3. Minhas Akbar & Ahsan Akbar & Muhammad Azeem Qureshi & Petra Poulova, 2021. "Sentiments–Risk Relationship across the Corporate Life Cycle: Evidence from an Emerging Market," Economies, MDPI, vol. 9(3), pages 1-17, August.
    4. Mariya Paskaleva & Ani Stoykova, 2021. "The Influence of Uncertainty on Market Efficiency: Evidence from Selected European Financial Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 175-198.

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