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The EMH and the market anomalies: an empirical analysis on Italian stock market

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  • Matteo Rossi
  • Gerarda Fattoruso

Abstract

This paper describes the contrast between traditional economic theories that assume the absolute rationality of individuals (Fama, 1965) and behavioural finance, which considers the irrationality of the decision maker. Beginning from previous studies (Agrawal and Tandon, 1994; Chen and Singal, 2003; and particularly Barone, 1990), the study attempted to verify the existence of anomalies in the Italian stock market (MIB). The study was directed towards the exploration of the major calendar effects in the period 1/3/2005-12/30/2015.

Suggested Citation

  • Matteo Rossi & Gerarda Fattoruso, 2017. "The EMH and the market anomalies: an empirical analysis on Italian stock market," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 9(3), pages 222-241.
    • Handle: RePEc:ids:injmfa:v:9:y:2017:i:3:p:222-241
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    Cited by:

    1. Matteo Rossi & Gabriella Marcarelli & Antonella Ferraro & Antonio Lucadamo, 2020. "How do Calendar Anomalies Affect an Investment Choice? A Proposal of an Analytic Hierarchy Process Model," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 244-249.
    2. Ayhan Orhan & Dervis Kirikkaleli & Fatih Ayhan, 2019. "Analysis of Wavelet Coherence: Service Sector Index and Economic Growth in an Emerging Market," Sustainability, MDPI, vol. 11(23), pages 1-12, November.

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