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


  • Huijian Dong

    () (Department of Economics, Pacific University)

  • Helen Bowers

    () (Department of Finance,University of Delaware)

  • William R. Latham

    () (Department of Economics,University of Delaware)


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.

Suggested Citation

  • Huijian Dong & Helen Bowers & William R. Latham, 2013. "Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes," Working Papers 13-07, University of Delaware, Department of Economics.
  • Handle: RePEc:dlw:wpaper:13-07.

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    Cited by:

    1. Kubitza, Christian & Gründl, Helmut, 2016. "Systemic risk: Time-lags and persistence," ICIR Working Paper Series 20/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Batiston Marques, Thales & Seixas dos Santos, Nelson, 2016. "Do Political News Affect Financial Market Returns? Evidences from Brazil," MPRA Paper 75530, University Library of Munich, Germany.

    More about this item


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

    JEL classification:

    • J16 - Labor and Demographic Economics - - Demographic Economics - - - Economics of Gender; Non-labor Discrimination
    • J30 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - General
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
    • J70 - Labor and Demographic Economics - - Labor Discrimination - - - General
    • J71 - Labor and Demographic Economics - - Labor Discrimination - - - Hiring and Firing

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