Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector
In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall,...
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| Veröffentlicht in: | Applied economics 2015-05, Vol.47 (23), p.2359-2378 |
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| container_title | Applied economics |
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| creator | Narayan, Paresh Kumar Narayan, Seema Popp, Stephan Ali Ahmed, Huson |
| description | In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall, for only 62% of firms, the unit root null hypothesis is rejected on all the five trading days. We also discover that when investors do not account for unit root properties in devising trading strategies, they obtain spurious profits. |
| doi_str_mv | 10.1080/00036846.2015.1005828 |
| format | Article |
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| source | Business Source Complete |
| subjects | Banking Banking industry efficient market hypothesis Efficient markets Enterprises Evidence Hypotheses Hypothesis Hypothesis testing Investors Market efficiency New York Stock exchanges structural breaks Studies trading strategies U.S.A unit root test |
| title | Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector |
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