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...

This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

This paper propose a new panel stochastic dominance (SD) test-PDD test, the asymptotic properties are derived, which extends Davidson and Duclos (DD) SD test to a panel context. The PDD test also contributes to settle one of the demerits while working with financial derivatives time series: that...

Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated...

This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals. Since the reforms of the early 2000s, stock prices are as informative about future profits as they are in the US. Although the market is segmented from international equity...

Although HFT has become a main feature of financial markets internationally, its impact on equity markets' functioning is still under discussion, since HFT can negatively affect market quality and stability. Regulatory measures recently adopted on both sides of the Atlantic to better control...

This study examines the Russian stock market efficiency from two perspectives. First, we document that for the sample of Russian firms cross-listed on the Main Market of the London Stock Exchange (LSE) as Global Depositary Receipts (GDRs), the return series obtained from both the local market...