Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...

To analyze whether stock-market prices follow a random walk, the algebraic sign of their returns has been compared with a coin toss, which is a prominent example for a Bernoulli trial with equiprobable outcomes. Like coin tosses, signed returns lend themselves for a simple runs test for...

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index because over the last five years KSE 100 Index has shown substantial growth as compared to other emerging stock markets. Index returns have been studied from 1st January, 1992 to 30th April,...

This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

Random walk theory explains the concept of efficient markets. The markets are described as efficient because they impound information whether private or public very quickly and reflect it in the prices of stocks traded. Investors therefore cannot outperform the markets based on the information...

There has been profuse development in the stock markets all over the world in the past decades. The 21st century has seen intriguing changes in the stock markets in both developed and emerging economies. This paper examines the weak-form efficiency of listed firms on the Ghana Stock Exchange...