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Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

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Author Info

  • Huijian Dong

    ()
    (Department of Economics, Pacific University)

  • Helen Bowers

    ()
    (Department of Finance,University of Delaware)

  • William R. Latham

    ()
    (Department of Economics,University of Delaware)

Abstract

This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) close, (3) intra-day high, (4) intra-day low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as controls. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect.

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File URL: http://www.lerner.udel.edu/sites/default/files/ECON/PDFs/RePEc/dlw/WorkingPapers/2013/UDWP13-07.pdf
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Bibliographic Info

Paper provided by University of Delaware, Department of Economics in its series Working Papers with number 13-07.

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Length: 17 pages
Date of creation: 2013
Date of revision:
Publication status: Published in Economics Research International
Handle: RePEc:dlw:wpaper:13-07.

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Keywords: financial market; efficient market hypothesis; contagion; interdependence; equity; bond;

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