TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

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

Název periodika

FACTA UNIVERSITATIS Series: Economics and Organization

ISSN

0354-4699

e-ISSN

2406-050X

Svazek periodika

20

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

RS - Srbská republika

Počet stran výsledku

20

Strana od-do

171-189

Kód UT WoS článku

—

EID výsledku v databázi Scopus

—