TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F23%3AA0000413" target="_blank" >RIV/47813059:19520/23:A0000413 - isvavai.cz</a>

Result on the web

<a href="http://casopisi.junis.ni.ac.rs/index.php/FUEconOrg/article/view/12000/5080" target="_blank" >http://casopisi.junis.ni.ac.rs/index.php/FUEconOrg/article/view/12000/5080</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.22190/FUEO230717011G" target="_blank" >10.22190/FUEO230717011G</a>

Result language

angličtina

Original language name

TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

Original language description

The paradigm of market equilibrium and the “efficient-market hypothesis” tied to it, dealing specifically with the behavior of capital markets, has no explanation for financial bubbles and their bursting that is leading to stock market crashes. Accordingly, the main goal of this paper is to discuss the inefficiency of markets, with examples of corporate decisions that directly abuse such inefficiency to psychologically motivate desired behavior of potential customers. To test the efficiency market hypothesis, we have used Stoxx Europe 600 index historical closing daily prices, for the period from 2012–2022. Using both non-parametric and parametric tests, such as the Kolmogorov–Smirnov test, run–test for random order, and ARIMA regression, we reject the hypothesis that the market is efficient in a weak form because it doesn’t follow a random walk. Also, basic-level problems of economic theory were analyzed, emphasizing the view that perhaps the time has come to align the fundamentals of economic theory with basic concepts that have been used in practice for years.

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2023

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

FACTA UNIVERSITATIS Series: Economics and Organization

ISSN

0354-4699

e-ISSN

2406-050X

Volume of the periodical

20

Issue of the periodical within the volume

3

Country of publishing house

RS - THE REPUBLIC OF SERBIA

Number of pages

20

Pages from-to

171-189

UT code for WoS article

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EID of the result in the Scopus database

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