A multidimensional classification of market anomalies: Evidence from 76 price indices |
| |
Authors: | John R Doyle Catherine Huirong Chen |
| |
Institution: | 1. Center for Excellence in Finance and Economic Research (CEFER), Bank of Lithuania, Totoriu g. 4, Vilnius 01121, Lithuania;2. Faculty of Economics, Vilnius University, Sauletekio al. 9, II Building, Vilnius 10222, Lithuania |
| |
Abstract: | This paper makes the first attempt to present explicit empirical evidence that market inefficiency can be multi-dimensional. Testing the Efficient Market Hypothesis (EMH) over 76 stock indices using 17 best established indicators (e.g. runs test), we show that most indices exhibit some type(s) of anomaly and that indicators differ from each other in terms of statistical power and/or the type of anomaly detected. A principal components analysis (PCA) demonstrates that indicators group along orthogonal dimensions, and hence a market can exhibit short-term memory, long-term memory and/or calendar effects, which are all distinct sources of possible inefficiency. This research presents statistical evidence on the extent and nature of market inefficiency, offers possible explanations for conflicting previous findings, and provides new insights into studying market efficiency. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|