Most markets that choose settlement day following expiration day select opening price rather than closing price as final settlement price (FSP) when index derivatives expire, while most markets that choose settlement day the same as expiration day select an average price rather than a single...

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

We examine the world's largest carbon exchange, ICE's ECX, by applying Chordia et al.'s (2008) conception of short-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and market efficiency such that when spreads narrow,...

This paper examines whether the 20072008 global financial crisis (GFC) played any role in changing the state of efficiency for the foreign exchange markets. For comparison purposes, I assess market efficiency based on the forward unbiasedness hypothesis (FUH) as well as the profitability of...

This study examines the role of market efficiency on international differences in the usefulness of the implied cost of capital (ICC) to measure expected stock returns. The analysis exploits cross-country differences in market efficiency around the world using a variety of empirical measures of...

Several African nations rely heavily on coffee exports as a source of national income. Given coffee's importance to many African economies and the risk that price instability poses to coffee exporters, the World Bank and others have promoted price risk management strategies relying on...

With the continuous questioning of the efficient market hypothesis and the booming development of behavioral finance theory, the basic framework of financial economics becomes increasingly blurred. Meanwhile, the adaptive market hypothesis proposed by Lo (2004), underscoring time-varying market...

Precious metals (gold, silver, and platinum) have become an important part of investment portfolios for individuals as well as for institutions. A key question is whether investors should actively trade these metals to time the market or whether they should take a buy-and-hold strategy. This...

This paper studies the recent evolution of market efficiency in the Mexican Stock Exchange by testing the hypothesis that stock prices have become "more efficient" through time. This is done by observing the evolution of the coefficients of the regressions between individual stocks returns and a...

This paper is amongst the first to investigate weak-form efficiency of the most developed (G-20) countries in the world. It also measures the impact of the 2007 financial crisis on the stock markets of these countries, in terms of their efficiency. Serial correlation test, ADF unit root test, Lo...