Efficiency and Anomalies in Stock Markets
Wong, Wing-Keung (editor)
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Keywordsstochastic dominance; Omega ratio; risk averters; risk seekers; utility maximization; market efficiency; anomaly; emerging markets; KSE Pakistan; three-factor model; size and value premiums; future economic growth; liquidity proxy; emerging market; transaction cost; price impact; efficient market; economic policy uncertainty; random walk; news; Asian market; G7 market; real exchange rate; volatility; financial development; economic growth; Put–Call Ratio; volume; open interest; frequency-domain roiling causality; convertible bond; financial constraints; stock performance; Autoregressive Model; non-Gaussian error; realized volatility; Threshold Autoregressive Model; value premium; technical analysis; moving average; China stock market; stock market; finance; applications; EMH; anomalies; Behavioral Finance; Winner–Loser Effect; Momentum Effect; calendar anomalies; BM effect; the size effect; Disposition Effect; Equity Premium Puzzle; herd effect; ostrich effect; bubbles; trading rules; overconfidence; utility; portfolio selection; portfolio optimization; risk measures; performance measures; indifference curves; two-moment decision models; dynamic models; diversification; behavioral models; unit root; cointegration; causality; nonlinearity; covariance; copulas; robust estimation; anchoring
Webshop linkhttps://mdpi.com/books/pdfview ...
Publication date and placeBasel, 2022
Development economics & emerging economies