Market Efficiency and News Dynamics: Evidence from International Equity Markets
This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-02-01
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| Series: | Economies |
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| Online Access: | https://www.mdpi.com/2227-7099/7/1/7 |
| _version_ | 1818015562464231424 |
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| author | Thomas C. Chiang |
| author_facet | Thomas C. Chiang |
| author_sort | Thomas C. Chiang |
| collection | DOAJ |
| description | This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence of market volatility correlations. The null for testing the absence of correlations between stock returns and lagged news measured by lagged economic policy uncertainty (EPU) is rejected for all markets under investigation. The evidence indicates that a change of lagged EPUs positively predicts conditional variance. |
| first_indexed | 2024-04-14T06:59:51Z |
| format | Article |
| id | doaj.art-14baabcc3d9a4513a886f798b7883f47 |
| institution | Directory Open Access Journal |
| issn | 2227-7099 |
| language | English |
| last_indexed | 2024-04-14T06:59:51Z |
| publishDate | 2019-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj.art-14baabcc3d9a4513a886f798b7883f472022-12-22T02:06:48ZengMDPI AGEconomies2227-70992019-02-0171710.3390/economies7010007economies7010007Market Efficiency and News Dynamics: Evidence from International Equity MarketsThomas C. Chiang0Department of Finance, LeBow College of Business, Drexel University, Philadelphia, PA 19104, USAThis paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence of market volatility correlations. The null for testing the absence of correlations between stock returns and lagged news measured by lagged economic policy uncertainty (EPU) is rejected for all markets under investigation. The evidence indicates that a change of lagged EPUs positively predicts conditional variance.https://www.mdpi.com/2227-7099/7/1/7efficient marketeconomic policy uncertaintyrandom walknewsAsian marketG7 market |
| spellingShingle | Thomas C. Chiang Market Efficiency and News Dynamics: Evidence from International Equity Markets Economies efficient market economic policy uncertainty random walk news Asian market G7 market |
| title | Market Efficiency and News Dynamics: Evidence from International Equity Markets |
| title_full | Market Efficiency and News Dynamics: Evidence from International Equity Markets |
| title_fullStr | Market Efficiency and News Dynamics: Evidence from International Equity Markets |
| title_full_unstemmed | Market Efficiency and News Dynamics: Evidence from International Equity Markets |
| title_short | Market Efficiency and News Dynamics: Evidence from International Equity Markets |
| title_sort | market efficiency and news dynamics evidence from international equity markets |
| topic | efficient market economic policy uncertainty random walk news Asian market G7 market |
| url | https://www.mdpi.com/2227-7099/7/1/7 |
| work_keys_str_mv | AT thomascchiang marketefficiencyandnewsdynamicsevidencefrominternationalequitymarkets |