IDEAS home Printed from https://ideas.repec.org/a/sgh/erfinj/v4y2019i2p67-88.html
   My bibliography  Save this article

The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange

Author

Listed:
  • Mostafa Raeisi Sarkandiz

    (University of Tabriz, Department of Economics and Management)

  • Robabeh Bahlouli

    (University of Tabriz, Department of Economics and Management)

Abstract

In empirical studies of the efficient market hypothesis using a classic approach, attention has generally been paid to the weak form of performance; other aspects of efficiency, such as informational efficiency, have not been addressed. Also, the study of alternative theories, such as behavioral hypotheses, is neglected. This article seeks to investigate not only the weak and informational forms of the efficient market hypothesis, but also to test the adaptive and fractal market hypotheses as two alternative theories by conducting an empirical study on the Warsaw Stock Exchange.

Suggested Citation

  • Mostafa Raeisi Sarkandiz & Robabeh Bahlouli, 2019. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 67-88, December.
    • Handle: RePEc:sgh:erfinj:v:4:y:2019:i:2:p:67-88
    DOI: 10.33119/ERFIN.2019.4.2.1
    as

    Download full text from publisher

    File URL: http://erfin.org/journal/index.php/erfin/article/view/71
    File Function: Full text
    Download Restriction: no
    File URL: https://libkey.io/10.33119/ERFIN.2019.4.2.1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
    2. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    3. Risso, Wiston Adrián, 2008. "The informational efficiency and the financial crashes," Research in International Business and Finance, Elsevier, vol. 22(3), pages 396-408, September.
    4. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
    5. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    6. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    7. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
    8. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    9. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    10. Emmanuel Numapau Gyamfi, 2018. "Adaptive Market Hypothesis: Evidence from the Ghanaian Stock Market," Journal of African Business, Taylor & Francis Journals, vol. 19(2), pages 195-209, April.
    11. Maria Rosa Borges, 2010. "Efficient market hypothesis in European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 711-726.
    12. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
    13. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
    14. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    15. Mr. Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 2003/142, International Monetary Fund.
    16. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    17. Victor Dragota & Anamaria Ciobanu & Delia Catarama & Andreea Semenescu & Carmen Maria Lacatus, 2009. "Minority Shareholders’ Protection: the Romanian Experience," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 2(02(531)), pages 35-48, February.
    18. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    19. Tran Van Quang, 2005. "The Fractal Market Analysis and Its Application on Czech Conditions [Fraktální analýza trhu a její aplikace na českých podmínkách]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2005(1), pages 101-111.
    20. Epaminondas Panas & Vassilia Ninni, 2010. "The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 192-210.
    21. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    22. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
    23. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    24. Morales, Raffaello & Di Matteo, T. & Gramatica, Ruggero & Aste, Tomaso, 2012. "Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3180-3189.
    25. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
    26. Hiremath, Gourishankar S. & Narayan, Seema, 2016. "Testing the adaptive market hypothesis and its determinants for the Indian stock markets," Finance Research Letters, Elsevier, vol. 19(C), pages 173-180.
    27. Andrew W. Lo, 2012. "Reading about the Financial Crisis: A Twenty-One-Book Review," Journal of Economic Literature, American Economic Association, vol. 50(1), pages 151-178, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mostafa R. Sarkandiz, 2023. "Forecasting the Turkish Lira Exchange Rates through Univariate Techniques: Can the Simple Models Outperform the Sophisticated Ones?," Papers 2302.08897, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    2. repec:zbw:bofism:2012_047 is not listed on IDEAS
    3. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
    4. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
    5. David G. McMillan, 2009. "Are Uk Share Prices Too High? Fundamental Value Or New Era," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 1-20, January.
    6. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
    7. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.
    8. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
    9. Bernard Njindan Iyke, 2019. "A Test Of The Efficiency Of The Foreign Exchange Market In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-26, January.
    10. Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2018. "Date-stamping US housing market explosivity," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-33.
    11. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, August.
    12. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 3-29, June.
    13. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
    14. Eléazar Zerbo, 2017. "Energy consumption and economic growth in Sub-Saharan African countries: Further evidence," Economics Bulletin, AccessEcon, vol. 37(3), pages 1720-1744.
    15. Ufuk CAN & Zeynep Gizem CAN & Süleyman DEĞİRMEN, 2019. "Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği," Istanbul Business Research, Istanbul University Business School, vol. 48(2), pages 218-247, November.
    16. Congregado, Emilio & Esteve, Vicente, 2022. "Cointegration with structural changes and classical model of inflation in Spain, 1830–1998," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 376-388.
    17. Rafael Emilio Congregado & Vicente Esteve, 2021. "Long-run neutrality of money and inflation in Spanish economy, 1830-1998," Working Papers 2104, Department of Applied Economics II, Universidad de Valencia.
    18. Adewuyi, Adeolu O. & Wahab, Bashir A. & Adeboye, Olusegun S., 2020. "Stationarity of prices of precious and industrial metals using recent unit root methods: Implications for markets’ efficiency," Resources Policy, Elsevier, vol. 65(C).
    19. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
    20. Esra N. Kılcı & Burcu Kıran Baygın, 2019. "Analysis of the Relationship between Real Effective Exchange Rate, Common Equity Tier 1 Ratio and Return on Equity: Evidence from Turkey," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(2), pages 319-332, December.
    21. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.

    More about this item

    Keywords

    efficient market hypothesis; informational efficiency; adaptive market hypothesis; fractal market hypothesis; Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sgh:erfinj:v:4:y:2019:i:2:p:67-88. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dobromił Serwa (email available below). General contact details of provider: https://edirc.repec.org/data/sgwawpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.