Beruflich Dokumente
Kultur Dokumente
Efficiency in Economics
The concept of efficiency in economics is a general term for the value assigned
to a situation by some measure designed to capture the amount of waste or
friction or other undesirable economic features present. Within this context,
it has several quite distinct meanings. For example, allocative efficiency is
concerned with the optimal distribution of scarce resources among individuals
in the economy. An efficient portfolio is one with the highest expected return
for a given level of risk. An efficient market is one in which information is
rapidly disseminated and reflected in prices.
Important
The EMH has been the central proposition of finance since the early 1970s and
is one of the most contoversial and well-studied propositions in all the social
sciences.
History
The history of the EMH is covered in detail here, Bachelier (1900), Samuelson
(1965) and Fama (1970) being the most important papers.
Definition
The term efficient market was first introduced into the economics literature
by Fama in 1965. For this and subsequent definitions, see here.
Scope
The term efficient market was initially applied to the stock market, but the
concept was soon generalised to other asset markets.
Starting Point
Regardless of whether or not one believes that markets are efficient, or even
whether they are efficient, the efficient market hypothesis is almost certainly
the right place to start when thinking about asset price formation. One can
then consider relative efficiency.
Joke
There is an old joke, widely told among economists, about an economist
strolling down the street with a companion when they come upon a $100 bill
lying on the ground. As the companion reaches down to pick it up, the
economist says Dont bother if it were a real $100 bill, someone would have
already picked it up.
Lo in Lo (1997)
Rational?
Contrary to popular belief, the EMH does not require that all market
participants are rational. Indeed, markets can be efficient even when a group
of investors are irrational and correlated, so long as there are some rational
traders present together with arbitrage opportunities. See Shleifer (2000).
Not Possible
Grossman and Stiglitz (1980) argued that because information is costly, prices
cannot perfectly reflect the information which is available, since if it did, those
who spent resources to obtain it would receive no compensation, leading to
the conclusion that an informationally efficient market is impossible.
See impossible.
Not Refutable
The EMH, by itself, is not a well-defined and empirically refutable hypothesis.
See here.
Conclusion
"I believe there is no other proposition in economics which has more solid
empirical evidence supporting it than the Efficient Market Hypothesis."
Jensen (1978)
"If the efficient markets hypothesis was a publicly traded security, its price
would be enormously volatile."
Shleifer and Summers (1990)
Best Paper
Fama (1970).
Best book
"The Econometrics of Financial Markets" by Campbell, Lo and Mackinlay
(1997).
Review/Survey Papers
Fama (1970)
Fama (1991)
Fama (1998)
Lo (2000)
Andreou, Pittis and Spanos (2001)
EMH Definitions
(Or moving goalposts?)
Fama (Jan. 1965: The behavior of stock-market prices):
an efficient market for securities, that is, a market where, given the
available information, actual prices at every point in time represent very good
estimates of intrinsic values.
Fama (1970):
A market in which prices always fully reflect available information is called
efficient.
Jensen (1978):
A market is efficient with respect to information set t if it is impossible to
make economic profits by trading on the basis of information set t.
[By economic profits, we mean the risk adjusted returns net of all costs.]
Fama (1991):
I take the market efficiency hypothesis to be the simple statement that
security prices fully reflect all available information. A precondition for this
strong version of the hypothesis is that information and trading costs, the
costs of getting prices to reflect information, are always 0 (Grossman and
Stiglitz (1980)). A weaker and economically more sensible version of the
efficiency hypothesis says that prices reflect information to the point where
the marginal benefits of acting on information (the profits to be made) do not
exceed marginal costs (Jensen (1978)).
Malkiel (1992):
A capital market is said to be efficient if it fully and correctly reflects all
relevant information in determining security prices. Formally, the market is
said to be efficient with respect to some information set, , if security prices
would be unaffected by revealing that information to all participants.
Moreover, efficiency with respect to an information set, , implies that it is
impossible to make economic profits by trading on the basis of .
Fama (1998):
market efficiency (the hypothesis that prices fully reflect available
information)...
the simple market efficiency story; that is, the expected value of abnormal
returns is zero, but chance generates deviations from zero (anomalies) in both
directions.
Year
1565 The prominent Italian mathematician, Girolamo Cardano,
in Liber de Ludo Aleae (The Book of Games of Chance)
wrote: The most fundamental principle of all in gambling is
simply equal conditions, e.g. of opponents, of bystanders, of
money, of situation, of the dice box, and of the die itself. To
the extent to which you depart from that equality, if it is in
your opponents favour, you are a fool, and if in your own,
you are unjust.
1828 Scottish botanist, Robert Brown, noticed that grains of pollen
suspended in water had a rapid oscillatory motion when
viewed under a microscope.
1888 John Venn, the British logician and philosopher, had a clear
concept of both random walk and Brownian motion.
1901
1902
1903
1904
1906 Bachelier
1907
1909
1910
1911
1916
1917
1918
1919
1920
1922
1924
1928
1931
1935
1938
1939
1940
1941
1942
1943
1945
1946
1947
1948
1950
1951
1952
1953 Milton Friedman points out that, due to arbitrage, the case
for the EMH can be made even in situations where the
trading strategies of investors are correlated.
1954
1955 Around this time, Leonard Jimmie Savage, who had
discovered Bacheliers 1914 publication in the Chicago or
Yale library sent half a dozen blue ditto postcards to
colleagues, asking does any one of you know him? Paul
Samuelson was one of the recipients. He couldn't find the
book in the MIT library, but he did discover a copy of
Bacheliers Ph.D. thesis.
1957
1962 Mandelbrot first proposes that the tails follow a power law, in
IBM Research Note NC-87.
1965 Fama defines an efficient market for the first time, in his
landmark empirical analysis of stock market prices that
concluded that they follow a random walk.
1966 Fama and Blume concluded that for measuring the direction
and degree of dependence in price changes, serial
correlation is probably as powerful as the Alexandrian filter
rules.
1968 Ball and Brown were the first to publish an event study.
1969 Fama, Fisher, Jensen and Roll undertook the first ever event
study, and their results lend considerable support to the
conclusion that the stock market is efficient.
1971 Kemp and Reid concluded that share price movements were
conspicuously non-random.
1974
1975
1982 Milgrom and Stokey show that under certain conditions, the
receipt of private information cannot create any incentives
to trade.
1983
1984 Osborne and Murphy find evidence of the square root of time
rule in earnings.
French and Roll found that asset prices are much more
volatile during exchange trading hours than during non-
trading hours; and they deduced that this is due to trading
on private informationthe market generates its own news.
1987
1989 Cutler, Poterba and Summers found that news does not
adequately explain market movement.
1990 Laffont and Maskin show that the efficient market hypothesis
may well fail if there is imperfect competition.
1991 Kim, Nelson and Startz reexamine the empirical evidence for
mean-reverting behaviour in stock prices and find that mean
reversion is entirely a pre-World War II phenomenon.
1995 Haugen publishes the book The New Finance: The Case
Against Efficient Markets. He emphasizes that short-run
overreaction (which causes momentum in prices) may lead
to long-term reversals (when the market recognizes its past
error).
1997 Andrew Lo edits two volumes that bring together the most
influential articles on the EMH.
Chan, Gup and Pan conclude that the world equity markets
are weak-form efficient.
2003 Malkiel examines the attacks on the EHM and concludes that
our stock markets are far more efficient and far less
predictable than some recent academic papers would have
us believe.
Home
EMH Taxonomy
The classic taxonomy of information sets, due to Roberts (1967), and used by
Fama (1970) includes the following:
"The 1970 review divides work on market efficiency into three categories: (1)
weak-form (How well do past returns predict future returns?), (2) semi-
strong-form tests (How quickly do security prices reflect public information
announcements?), and (3) strong-form tests (Do any investors have private
information that is not fully reflected in market prices?) At the risk of
damning a good thing, I change the categories in this paper.
Instead of weak-form tests, which are only concerned with the forecast power
of past returns, the first category now covers the more general area oftests for
return predictability, which also includes the burgeoning work on forecasting
returns with variables like dividend yields and interest rates. Since market
efficiency and equilibrium-pricing issues are inseparable, the discussion of
predictability also considers the cross-sectional predictability of returns, that
is, tests of asset-pricing models and the anomalies (like the size effect)
discovered in the tests. Finally, the evidence that there are seasonals in returns
(like the January effect), and the claim that security prices are too volatile are
also considered, but only briefly, under the rubric of return predictability.
For the second and third categories, I propose xchanges in title, not coverage.
Instead of semi-strog-form tests of the adjustment of prices to public
announcements, I use the now common title, event studies. Instead of strong-
form tests of whether specific investors have information not in market prices,
I suggest the more descriptive title, tests for private information."
Applicabilit
Stochastic Descriptio
y to real Notes
process n
markets
Kendall (1953),
Houthakker (1961) and
stationary Osborne (1962) found
independen nonstationarities in
Lvy process poor
t markets in the form of
increments positive autocorrelation
in the variance of
returns.
Kendall (1953),
Houthakker (1961) and
Osborne (1962) found
Markov process memoryless poor
positive autocorrelation
in the variance of
returns.
Note that above we are interested in the logarithm of the price of an asset
(Osborne (1959)).
"First, any test of efficiency must assume an equilibrium model that defines
normal security returns. If efficiency is rejected, this could be because the
market is truly inefficient or because an incorrect equilibrium model has been
assumed. This joint hypothesis problem means that market efficiency as such
can never be rejected."
Campbell, Lo and MacKinlay (1997), page 24
"...any test of the EMH is a joint test of an equilibrium returns model and
rational expectations (RE)."
Cuthbertson (1996)
One of the reasons for this state of affairs is the fact that the EMH, by itself, is
not a well-defined and empirically refutable hypothesis. To make it
operational, one must specify additional structure, e.g. investors' preferences,
information structure. But then a test of the EMH becomes a test of several
auxiliary hypotheses as well, and a rejection of such a joint hypothesis tells us
little about which aspect of the joint hypothesis is inconsistent with the data.
Are stock prices too volatile because markets are inefficient, or is it due to risk
aversion, or dividend smoothing? All three inferences are consistent with the
data. Moreover, new statistical tests designed to distinguish among them will
no doubt require auxiliary hypotheses of their own which, in turn, may be
questioned."
Lo in Lo (1997), page xvii
"For the CAPM or the multifactor APT to be true, markets must be efficient."
"Asset-pricing models need the EMT. However, the notion of an efficient
market is not affected by whether any particular asset-pricing theory is true. If
investors preferred stocks with a high unsystematic risk, that would be fine: as
long as all information was immediately reflected in prices, the EMT theory
would be true."
Lofthouse (2001), page 91
"One of the reasons for this state of affairs is the fact that the Efficient Markets
Hypothesis, by itself, is not a well-defined and empirically refutable
hypothesis. To make it operational, one must specify additional structure, e.g.,
investor preferences, information structure, business conditions, etc. But then
a test of the Efficient Markets Hypothesis becomes a test of several auxiliary
hypotheses as well, and a rejection of such a joint hypothesis tells us little
about which aspect of the joint hypothesis is inconsistent with the data. Are
stock prices too volatile because markets are inefficient, or is it due to risk
aversion, or dividend smoothing? All three inferences are consistent with the
data. Moreover, new statistical tests designed to distinguish among them will
no doubt require auxiliary hypotheses of their own which, in turn, may be
questioned."
Lo and MacKinlay (1999), pages 6-7
Grossman and Stiglitz (1980) argued that because information is costly, prices
cannot perfectly reflect the information which is available, since if it did, those
who spent resources to obtain it would receive no compensation, leading to
the conclusion that an informationally efficient market is impossible.
Sewell (2006)
"Second, perfect efficiency is an unrealistic benchmark that is unlikely to hold
in practice. Even in theory, as Grossman and Stiglitz (1980) have shown,
abnormal returns will exist if there are costs of gathering and processing
information. These returns are necessary to compensate investors for their
information-gathering and information-processing expenses, and are no
longer abnormal when these expenses are properly accounted for. In a large
and liquid market, information costs are likely to justify only small abnormal
returns, but it is difficult to say how small, even if such costs could be
measured precisely."
Campbell, Lo and MacKinlay (1997), page 24
"Grossman (1976) and Grossman and Stiglitz (1980) go even further. They
argue that perfectly informationally efficient markets are an impossibility, for
if markets are perfectly efficient, the return to gathering information is nil, in
which case there would be little reason to trade and markets would eventually
collapse. Alternatively, the degree of market inefficiency determines the
efforrt investors are willing to expend to gather and trade on information,
hence a non-degenerate market equilibrium will arise only when there are
sufficient profit opportunities, i.e., inefficiencies, to compensate investors for
the costs of trading and information-gathering. The profits earned by these
industrious investors may be viewed as economic rents that accrue to those
willing to engage in such activities."
Lo and MacKinlay (1999), pages 5-6
GIBSON, George, 1889. The Stock Markets of London, Paris and New York.
New York: G.P. Putnam's Sons. [Cited by 3] (0.03/year)
HAUGEN, Robert A., 1995. The New Finance: The Case against Efficient
Markets (Englewood Cliffs, NJ: Prentice Hall. [not cited] (0.00/year)
LO, Andrew W. (Edited by), 1997. Market Efficiency: Stock Market Behaviour
in Theory and Practice. [Cited by 27] (2.64/year)
MALKIEL, Burton G., 1999. A Random Walk Down Wall Street. [Cited by 528]
(46.97/year)
SHAFER, Glenn and Vladimir VOVK, 2001. Probability and Finance: Its
Only a Game!, John Wiley & Sons, Inc. [Cited by 91] (14.58/year)
Book Reviews
HARVEY, Campbell R., 1998. The Econometrics of Financial Markets, The
Journal of Finance, 53(2), 803806.
Bibliography
ALEXANDER, Sidney S., 1961. Price Movements in Speculative Markets:
Trends or Random Walks, Industrial Management Review, 2(2), 726. [Cited by
111] (2.47/year)
ALLEN, F., and G. GORTON, 1991. Rational Finite Bubbles, NBER Working
Paper 3707. [Cited by 13] (0.89/year)
ANDERSON, John A., Taking A Peek Inside The Turtles Shell [not found]
ANDREOU, Elena and Nikitas PITTIS and Aris SPANOS, 2001. On Modelling
Speculative Prices: The Empirical Literature. Journal of Economic
Surveys, 15(2), 187220.
ARTHUR, W. Brian, et al., 1997. Asset Pricing Under Endogenous
Expectations in an Artificial Stock Market. In: W. Brian Arthur, Steven N.
Durlauf and David A. Lane, The Economy as an Evolving Complex System II,
[Cited by 301] (29.57/year)
ASAL, Maher, Are There Trends Towards Efficiency For the Egyptian Stock
Market?" [not cited] (?/year)
BALL, Ray, 1989. What do we know about stock market efficiency? in Rui
M. C. Guimares and Brian G. Kingsman and Stephen J. Taylor (eds) A
Reappraisal of the Efficiency of Financial Markets. Berlin: Springer-Verlag.
[Cited by 7] (0.42/year)
BALVERS, Ronald J., Thomas F. COSIMANO and Bill MCDONALD,
1990. Predicting Stock Returns in an Efficient Market, Journal of Finance,45(4),
11091128. [Cited by 84] (5.37/year)
BASS, Richard F., Nathalie EISENBAUM and Zhan SHI, 1991. The most
visited sites of symmetric stable processes, 1991. [Cited by 13] (2.30/year)
BROWN, David P. and Zhi Ming ZHANG, Market Orders and Market
Efficiency, Journal of Finance. [Cited by 18] (2.08/year)
CHAN, Kam C., Benton E. GUP and Ming-Shiun PAN, 1997. International
Stock Market Efficiency and Integration: A Study of Eighteen Nations.Journal
of Business Finance & Accounting, 24(6), 803813. [Cited by 36] (3.92/year)
CHEN, Ping, 1996. A Random Walk or Color Chaos on the Stock Market?
Time-Frequency Analysis of S&P Indexes, Studies in Nonlinear Dynamics and
Econometrics, Quarterly Journal, July 1996, 1(2), The MIT Press. [Cited by 17]
(1.76/year)
COX, Charles C., Futures Trading and Market Information. [Cited by 38]
(1.28/year)
COX, John C., and Stephen A. ROSS, 1976. The Valuation of Options for
Alternative Stochastic Processes, Journal of Financial Economics, 3(12), 145
166. [Cited by 692] (23.34/year)
COZMA, Razvan Gabriel (July 2002) Testing For Romanian Capital Market
Efficiency [not found]
CRAINE, Fair games, and the Martingale (or "Random walk") model of stock
prices. [not found]
DIBBLEE, George Binney, 1912. The laws of supply and demand, London:
Constable and Co.
DOOB, J. L., 1953. Stochastic Processes, New York: Wiley. [Cited by 1531]
(29.08/year)
DOW, James and Gary GORTON, 1997. Stock Market Efficiency and
Economic Efficiency: Is There a Connection?, The Journal of Finance, 52(3),
10871129. [Cited by 87] (7.78/year)
EINSTEIN, Albert, 1905. ber die von der molekularkinetischen Theorie der
Wrme geforderte Bewegung von in ruhenden Flssigkeiten suspendierten
Teilchen, Annalen der Physik, 17:549560, 1905. [Cited by 392] (3.89/year)
EVANS, John L., The Random Walk Hypothesis, Portfolio Analysis and the
Buy-and-Hold Criterion, 1968. [not cited] (0/year)
FAMA, Eugene F., 1963. Mandelbrot and the Stable Paretian Hypothesis, The
Journal of Business, 36(4), 420429. [Cited by 109] (2.56/year)
FAMA, Eugene F., 1965. Random Walks in Stock Market Prices, Financial
Analysts Journal, 21(5), 5559. [Cited by 59] (1.43/year)
FAMA, Eugene F., 1965. The Behavior of Stock-Market Prices, Journal of
Business, 38(1), 34105. [Cited by 1224] (29.72/year)
FAMA, Eugene F., 1970. Efficient Capital Markets: A Review of Theory and
Empirical Work, Journal of Finance, 25(2), 383417. [Cited by 1389]
(38.97/year)
FAMA, Eugene F., 1998. Market efficiency, long-term returns, and behavioral
finance, Journal of Financial Economics 49 (1998) 283306. [Cited by 687]
(89.89/year)
FAMA, Eugene F., et al., 1969. The Adjustment of Stock Prices to New
Information, International Economic Review, 10(1), 121. [Cited by 425]
(11.60/year)
FAMA, Eugene F., and Kenneth R. FRENCH, 1988. Permanent and Temporary
Components of Stock Prices, The Journal of Political Economy, 96(2), 246273.
[Cited by 571] (32.36/year)
FAMA, Eugene F., and Marshall E. BLUME, 1966. Filter Rules and Stock-
Market Trading, The Journal of Business, 39(1), 226241. [Cited by 81]
(2.04/year)
FARMER, J. D., 1998. Market force, ecology, and evolution, Santa Fe Institute
Working Paper. [Cited by 83] (22.78/year)
FRIEDMAN, Milton, 1953. "The Case for Flexible Exchange Rates". In:
Milton Friedman, Essays in Positive Economics, pages 157203. Chicago:
University of Chicago Press.
GEMAN, H?e?lyettePreface
GIBSON, George, 1889. The Stock Markets of London, Paris and New York.
New York: G.P. Putnam's Sons. [Cited by 3] (0.03/year)
HALL, Stephen and Giovanni URGA, 2002. Testing for Ongoing Efficiency in
the Russian Stock Market, 2002. [not found]
HANSEN, L.P. and R.J. HODRICK, 1983, Risk averse speculation in the
forward foreign exchange market: An economic analysis of linear models, in:
J.A. Frenkel, ed., Exchange Rates and International Macroeconomics
(University of Chicago Press, Chicago IL) 113152. [Cited by 59] (2.61/year)
HAUGEN, Robert A., 1995. The New Finance: The Case against Efficient
Markets (Englewood Cliffs, NJ: Prentice Hall. [Cited by 4] (0.38/year)
HAW, Mark, 2005. Einstein's random walk (January 2005) - Physics World -
PhysicsWeb [not listed]
HELPERN 1962
HIRSHLEIFER, Jack, 1971. The Private and Social Value of Information and
the Reward to Inventive Activity, The American Economic Review,61(4), 561
574. [Cited by 246] (7.10/year)
JACKSON, Matthew O., 1991. Equilibrium, Price Formation, and the Value of
Private Information, The Review of Financial Studies, 4(1), 116. [Cited by 28]
(1.91/year)
JEN, Frank C., Random Walks and Technical Theories: Some Additional
Evidence: Discussion, Journal of Finance [Cited by 41] (1.15/year)
KEIM, D., and R. STAMBAUGH, 1986. Predicting Returns in Stock and Bond
Markets, Journal of Financial Economics, 17, 357390. [Cited by 1] (0.05/year)
KEMP, Alexander G. and Gavin C. REID, 1971. The Random Walk Hypothesis
and the Recent Behaviour of Equity Prices in Britain, Economica, New
Series, 38(149), 2851. [Cited by 2] (0.06/year)
KING, W.I., 1930. Index Numbers Elucidated, New York, Longmans, Green
and Co. [Cited by 2] (0.03/year)
LeROY, Stephen F., 1973. Risk Aversion and the Martingale Property of Stock
Prices, International Economic Review 14(2), 436446. [Cited by 24]
(0.74/year)
LeROY, Stephen F., 1989. Efficient Capital Markets and Martingales, Journal
of Economic Literature, 27(4), 15831621. [Cited by 119] (7.15/year)
LeROY, Stephen F., Efficient Capital Markets: Comment, 1976. [Cited by 10]
(0.34/year)
LEVINE 1962
LEVY, Moshe, 2001. Market Efficiency, the Pareto Wealth Distribution, and
the Lvy Distribution of Stock Returns [Cited by 2] (0.43/year)
LEVY, P., 1925. Calcul des Probabilites. Gauthier-Villars, Paris. [Cited by 76]
(0.94/year)
LO, Andrew W. (Edited by), 1997. Market Efficiency: Stock Market Behaviour
in Theory and Practice. [Cited by 17] (1.97/year)
LO, Andrew W., 2000. Finance: A Selective Survey.. Journal of the American
Statistical Association, 95(450), 629635. [Cited by 7] (1.19/year)
LO, Andrew W., and A. Craig MACKINLAY, 1988. Stock Market Prices do not
Follow Random Walks: Evidence from a Simple Specification Test,The Review
of Financial Studies, 1(1), 4166. [Cited by 622] (35.26/year)
LOFTHOUSE, Stephen, 2001. Investment Management. [Cited by 6]
(1.29/year)
LORIE, James H. and Mary T HAMILTON, 1973. The Stock Market: Theories
and Evidence, Homewood, Illinois: Richard D. Irwin. [Cited by 1] (0.03/year)
MALKIEL, Burton G., 1973. A Random Walk Down Wall StreetNew York: W.
W. Norton & Company
MALKIEL, Burton G., 1999. A Random Walk Down Wall Street. [Cited by
350] (16.95/year)
MALKIEL, Burton G., 2003. The Efficient Market Hypothesis and Its
Critics, Journal of Economic Perspectives, 17(1), 5982. [Cited by 50]
(18.34/year)
MILGROM, Paul and Nancy STOKEY, 1982. Information, trade and common
knowledge, Journal of Economic Theory, 26(1), 1727. [Cited by 280]
(11.80/year)
MILLS, Frederick C., 1927. The Behavior of Prices (New York: National
Bureau of Economic Research, 1927). [Cited by 52] (0.66/year)
MITCHELL, Wesley C., 1915 and 1921. "The Making and Using of Index
Numbers," Introduction to Index Numbers and Wholesale Prices in the United
States and Foreign Countries (published in 1915 as Bulletin No. 173 of the U.S.
Bureau of Labor Statistics, reprinted in 1921 as Bulletin No. 284). [Cited by 11]
(0.16/year)
MUTH, John F., 1961. Rational Expectations and the Theory of Price
Movements, Econometrica, 29(3), 315335. [Cited by 608] (13.55/year)
OHLSON, J. and J. PATELL, 1979. Residual (API) analysis and the private
value of information, Journal of Accounting Research, 17, 504549 [Cited by 2]
(0.08/year)
OLSEN, Richard B., et al., 1992. Going Back to the Basics - Rethinking
Market Efficiency, Technical Report, Olsen and Associates, Zurich, Switzerland.
[Cited by 3] (0.22/year)
OSBORNE, M. F. M. and Joseph E. MURPHY, Jr., 1984. Financial Analogs of
Physical Brownian Motion, as Illustrated by Earnings, Financial Review, 19(2),
153172. [not cited] (?/year)
PAYNE, Kent E., Predicting Intermediate Returns of the S&P500; The Risk
Factor [not cited] (?/year)
PEARSON, Karl, 1905. The Problem of the Random Walk, Nature, 72(1865),
294.
PEARSON, Karl, 1905. The problem of the random walk, Nature, 72, page
342.
PROXMIRE (1968)
RISAGER, Ole, 1998. Random Walk or Mean Reversion: The Danish Stock
Market Since World War I. [Cited by 1] (0.13/year)
ROBERTS, H., 1967. Statistical versus Clinical Prediction of the Stock Market,
unpublished manuscript [28] [Cited by 57] (1.47/year)
ROBERTS, Harry, V., 1959. Stock-Market "Patterns" and Financial Analysis:
Methodological Suggestions, Journal of Finance, 14(1), pp. 110. [Cited by 47]
(1.01/year)
ROLL, Richard, 1984. Orange Juice and Weather, The American Economic
Review, 74(5), 861880. [Cited by 120] (5.49/year)
ROLL, Richard, 1994. What Every CFO Should Know About Scientific
Progress in Economics: What is Known and What Remains to be
Resolved,Financial Management, 23(2), 6975. [Cited by 19] (1.56/year)
SAMUELSON, Paul A., 1965. Proof that properly anticipated prices fluctuate
randomly, Industrial Management Review, 6, 4149. [Cited by 317] (7.80/year)
SAMUELSON, Paul A., 1973. Proof That Properly Discounted Present Values
of Assets Vibrate Randomly, The Bell Journal of Economics and Management
Science, 4(2), 369374. [Cited by 29] (0.88/year)
SEILER, Michael J., and Walter ROM, 1997. A Historical Analysis of Market
Efficiency: Do Historical Returns Follow a Random Walk?, Journal Of
Financial And Strategic Decisions, 10(2), 4957. [Cited by 1] (0.12/year)
SHAFER, Glenn and Vladimir VOVK, 2001. Probability and Finance: Its
Only a Game!, John Wiley & Sons, Inc. [Cited by 64] (12.35/year)
SHAH, Nilay and David DeHorn, Stock Returns and the Test of the Random
Walk Hypothesis, 2001. [not found]
SHI, Zhan and B?a?lint T?O?TH, 2000. Favourite sites of simple random
walk, Periodica Mathematica Hungarica, 41(1), 237249. [Cited by 1]
(0.18/year)
SHILLER, Robert J., 1979. The Volatility of Long-Term Interest Rates and
Expectations Models of the Term Structure, The Journal of Political
Economy, 87(6), 11901219. [Cited by 154] (5.78/year)
SHILLER, Robert J., 1981. Do Stock Prices Move Too Much to be Justified by
Subsequent Changes in Dividends?, The American Economic Review,71(3),
421436. [Cited by 668] (26.87/year)
SHILLER, Robert J., 1999. Human Behavior and the Efficiency of the
Financial System, Handbook of Macroeconomics, Vol. 1, edited by J.B. Taylor
and M. Woodford, 1999. [Cited by 104] (13.61/year)
SMITH, A., 1968. The Money Game, Random House, New York. [Cited by 5]
(0.13/year)
STIGLITZ, Joseph E., 1981. The Allocation Role of the Stock Market: Pareto
Optimality and Competition, The Journal of Finance, 36(2), 235251.
SUMMERS, Lawrence H., 1986. Does the Stock Market Rationally Reflect
Fundamental Values?, The Journal of Finance, 41(3), 591601. [Cited by 242]
(12.32/year)
TAQQU, Murad S., 2001. Bachelier and his times: A conversation with Bernard
Bru, Finance and Stochastics, 5(1), 332. [Cited by 7] (1.51/year)
TAYLOR, Stephen J., 2005. Asset Price Dynamics, Volatility, and Prediction
[not cited] (?/year)
TREYNOR, Jack L., 1962. Toward a Theory of Market Value of Risky Assets,
Unpublished manuscript. A final version was published in 1999, in Asset Pricing
and Portfolio Performance: Models, Strategy and Performance Metrics. Robert
A. Korajczyk (editor) London: Risk Books, pp. 1522. [Cited by 33] (0.73/year)
UPSON, Roger B., 1972. Random Walk and Forward Exchange Rates: A
Spectral Analysis, Journal of Financial and Quantitative Analysis, 1972. [Cited
by 1] (0.03/year)
VENN, John, 1888. The logic of Chance, an Essay on the Foundations and
Province of the Theory of Probability with special References to its Logical
Bearings and its Application to Moral and Social Sciences, and to Statistics.
(Third Edition.) London: MacMillan. [Cited by 62] (0.48/year)
WOLF, M., 2000. Stock Returns and Dividend Yields Revisited: A New Way to
Look at an Old Problem, Journal of Business and Economic Statistics,18(1), 18
30. [Cited by 11] (1.95/year)
YUE, Wei T., Alok R. CHATURVEDI and Shailendra MEHTA, 2000. Is More
Information Better? The Effect of Traders' Irrational Behavior on an Artificial
Stock Market, Proceedings of the Twenty First International Conference on
Information Systems (ICIS), December 2000. [not cited] (0/year)
Holidays
The holiday effect refers to the tendency of the market to do well on any day
which precedes a holiday.
ARIEL, R.A., 1990. High Stock Returns before Holidays: Existence and
Evidence on Possible Causes, The Journal of Finance, Vol. 45, No. 5. (Dec.,
1990), pp. 1611-1626. [Cited by 64] (3.93/year)
Abstract: "On the trading day prior to holidays, stocks advance with
disproportionate frequency and show high mean returns averaging nine to
fourteen times the mean return for the remaining days of the year. Over one third
of the total return accruing to the market portfolio over the 19631982 period
was earned on the eight trading days which each year fall before holiday market
closings. Examination of hourly pre-holiday stock returns reveals high returns
throughout the day. Pre-holiday stock returns in the post-test 19831986 period
are also examined."
MENEU, Vicente and Angel PARDO, 2004. Pre-holiday Effect, Large Trades
and Small Investor Behaviour, Journal of Empirical Finance, Volume 11, Issue
2, March 2004, Pages 231-246. [Cited by 6] (2.61/year)
Abstract: "This paper investigates the existence of a pre-holiday effect in the
most important individual stocks of the Spanish Stock Exchange that are also
traded in both the New York Stock Exchange and the Frankfurt Stock Exchange.
Our results show high abnormal returns on the trading day prior to holidays that
are not related to any calendar anomaly. A thorough study of diverse liquidity-
related measures suggests a new explanation for the pre-holiday effect based on
the reluctance of small investors to buy on pre-holidays. The results of this paper
are important for the practitioners since we show that institutional investors
could have economically exploited this anomaly."
KIM, Chan-Wung and Jinwoo PARK, 1994. Holiday Effects and Stock
Returns: Further Evidence, The Journal of Financial and Quantitative Analysis,
Vol. 29, No. 1. (Mar., 1994), pp. 145-157. [Cited by 30] (2.44/year)
Abstract: "This paper provides further evidence of the holiday effect in stock
returns and additional insight into the effect. This paper reports abnormally high
returns on the trading day before holidays in all three of the major stock markets
in the U.S.: the NYSE, AMEX, and NASDAQ. The holiday effect is also present
in the U.K. and Japanese stock markets, even though each country has different
holidays and institutional arrangements. This study finds that the holiday effects
in the U.K. and Japanese stock markets are independent of the holiday effect in
the U.S. stock market. Unlike the other seasonal patterns in stock returns, such
as January and weekend effects, this investigation of size decile portfolios shows
that the size effect is not present in mean returns on preholidays."
CADSBY, Charles Bram and Mitchell RATNER, 1992. Turn-of-month and pre-
holiday effects on stock returns: Some international evidence, Journal of
Banking & Finance, Volume 16, Issue 3, June 1992, Pages 497-509. [Cited by
34] (2.38/year)
LUCEY, B.M., 2005. Are local or international influences responsible for the
pre-holiday behaviour of Irish equities?. Applied Financial Economics.[Cited by
2] (1.54/year)
LUCEY, B.M. and A. PARDO, 2005. Why investors should not be cautious
about the academic approach to testing for stock market . Applied Financial
Economics 15(3) :165-171 [Cited by 2] (1.54/year)
LIN, J.L. and T.S. LIU, 2002. Modeling Lunar Calendar Holiday Effects in
Taiwan. Taiwan Economic Forecast and Policy. [Cited by 4] (0.93/year)
ECONOMICS, A.F., 2002. The anomalies that aren't there: the weekend,
January and pre-holiday effects on the all gold index . Applied Financial
Economics. [Cited by 4] (0.93/year)
REDMAN, Arnold L., Herman MANAKYAN and Kartono LIANO, 1997. Real
Estate Investment Trusts and Calendar Anomalies. Journal of Real Estate
Research. [Cited by 8] (0.86/year)
VERGIN, Roger C. and John McGINNIS 1999. Revisiting the Holiday Effect:
is it on holiday?. Applied Financial Economics. [Cited by 6] (0.82/year)
LIANO, K., P.H. MARCHAND and G.C. HUANG, 1992. The holiday effect in
stock returns: Evidence from the OTC market. Review of Financial
Economics. [Cited by 9] (0.63/year)
TAKEI, A., et al., 2003. 'Drug holiday' effects of tandospirone in a patient with
Machado-Joseph disease. Psychiatry and Clinical Neurosciences.[Cited by 2]
(0.61/year)
BROCKMAN, P., 1995. A review and analysis of the holiday effect. Financial
Markets, Institutions & Instruments. [Cited by 5] (0.44/year)
MERRILL, A.A., 1966. Behavior of Prices on Wall Street. Analysis Press.
[Cited by 8] (0.20/year)
FIELDS, M.J., 1934. Security prices and stock exchange holidays in relation to
short selling, The Journal of Business of the University of Chicago, Vol. 7, No.
4. (Oct., 1934), pp. 328-338. [Cited by 12] (0.17/year)
LIANO, K. and L.R. WHITE, 1994. Business Cycles and the Pre-holiday
Effect in Stock Returns. Applied Financial Economics. [Cited by 2] (0.16/year)
Weekend Effect
The weekend effect (also known as the Monday effect, the day-of-the-
week effect or the Monday seasonal) refers to the tendency of stocks to exhibit
relatively large returns on Fridays compared to those on Mondays. This is a
particularly puzzling anomaly because, as Monday returns span three days, if
anything, one would expect returns on a Monday to be higher than returns for
other days of the week due to the longer period and the greater risk.
All
All
2000| 2001| 2002| 2003| 2004| 2005| 2006| 2007| 2008| 2009| 2010
| 2011| 2012
Seminal
French (1980)
Important
HAWAWINI, G. and D.B. KEIM, 1995. On the predictability of common stock
returns: World-wide evidence. In: Handbooks in Operations Research and
Management Science, Volume 9, Finance, pages 497-544. [Cited by 58] (4.06/year)
Abstract: "Recent empirical findings suggest that equity returns are predictable.
These findings document persistent cross- sectional and time series patterns in
returns that are not predicted by extant theory, and are, therefore, often classified
as anomalies. In this paper we synthesize the evidence on predictable returns,
focusing on the subset of the findings whose existence has proved most robust with
respect to both time and the number of stock markets in which they have been
observed."
FRENCH, Kenneth R., 1980. Stock Returns and the Weekend Effect, Journal of
Financial Economics, Volume 8, Issue 1, March 1980, Pages 55-69. [Cited by 310]
(11.79/year)
Abstract: "This paper examines two alternative models of the process generating
stock returns. Under the calendar time hypothesis, the process operates
continuously and the expected return for Monday is three times the expected return
for other days of the week. Under the trading time hypothesis, returns are
generated only during active trading and the expected return is the same for each
day of the week. During most of the period studied, from 1953 through 1977, the
daily returns to the Standard and Poor's composite portfolio are inconsistent with
both models. Although the average return for the other four days of the week was
positive, the average for Monday was significantly negative during each of five-year
subperiods."
LAKONISHOK, Josef and Seymour SMIDT, 1988. Are seasonal anomalies real? A
ninety-year perspective, The Review of Financial Studies, Vol. 1, No. 4. (Winter,
1988), pp. 403-425. [Cited by 161] (8.80/year)
Abstract: "This study uses 90 years of daily data on the Dow Jones Industrial
Average to test for the existence of persistent seasonal patterns in the rates of
return. Methodological issues regarding seasonality tests are considered. We find
evidence of persistently anomalous returns around the turn of the week, around the
turn of the month, around the turn of the year, and around holidays."
GIBBONS, Michael R. and Patrick HESS, 1981. Day of the Week Effects and Asset
Returns, The Journal of Business, Vol. 54, No. 4. (Oct., 1981), pp. 579-596. [Cited by
176] (6.96/year)
Abstract: "A traditional distributional assumption regarding the returns on a financial
asset specifies that the expected returns are identical for all days of the week.
Contrary to this plausible assumption, this paper discovers that the expected
returns on common stocks and treasury bills are not constant across days of the
week. The most notable evidence is for Monday's returns where the mean is
unusually low or even negative. Several explanations of the results are investigated,
but none proves satisfactory. Aside from documenting significant day of the week
effects, the implications of the results for tests of market efficiency are examined.
While market-adjusted returns continue to exhibit day of the week effects, these
effects are no longer concentrated on Monday."
ABRAHAM, Abraham and David L. IKENBERRY, 1994. The Individual Investor and
the Weekend Effect, The Journal of Financial and Quantitative Analysis, Vol. 29, No.
2. (Jun., 1994), pp. 263-277. [Cited by 71] (5.78/year)
Abstract: "It is well known that stock returns, on average, are negative on Mondays.
Yet, it is less well known that this finding is substantially the consequence of returns
in prior trading sessions. When Friday's return is negative, Monday's return is
negative nearly 80 percent of the time with a mean return of -0.61 percent. When
Friday's return is positive, the subsequent Monday's mean return is positive, 0.11
percent. This relationship is stronger than for any other pair of trading days and is
most acute in small- and medium-size companies. The trading behavior of individual
investors appears to be at least one factor contributing to this pattern. Individual
investors are more active sellers of stock on Mondays, particularly following bad
news in the market."
LAKONISHOK, Josef and Edwin MABERLY, 1990. The Weekend Effect: Trading
Patterns of Individual and Institutional Investors, The Journal of Finance, Vol. 45, No.
1. (Mar., 1990), pp. 231-243. [Cited by 94] (5.77/year)
Abstract: "In this paper, we document regularities in trading patterns of individual
and institutional investors related to the day of the week. We find a relative increase
in trading activity by individuals on Mondays. In addition, there is a tendency for
individuals to increase the number of sell transactions relative to buy transactions,
which might explain at least part of the weekend effect."
SULLIVAN, Ryan, Allan TIMMERMANN and Halbert WHITE, 2001. Dangers of data
mining: the case of calendar effects in stock returns, Journal of Econometrics,
Volume 105, Issue 1, November 2001, Pages 249-286. [Cited by 41] (4.95/year)
Abstract: "Economics is primarily a non-experimental science. Typically, we cannot
generate new data sets on which to test hypotheses independently of the data that
may have led to a particular theory. The common practice of using the same data
set to formulate and test hypotheses introduces data-mining biases that, if not
accounted for, invalidate the assumptions underlying classical statistical inference.
A striking example of a data-driven discovery is the presence of calendar effects in
stock returns. There appears to be very substantial evidence of systematic
abnormal stock returns related to the day of the week, the week of the month, the
month of the year, the turn of the month, holidays, and so forth. However, this
evidence has largely been considered without accounting for the intensive search
preceding it. In this paper we use 100 years of daily data and a new bootstrap
procedure that allows us to explicitly measure the distortions in statistical inference
induced by data mining. We find that although nominal p-values for individual
calendar rules are extremely significant, once evaluated in the context of the full
universe from which such rules were drawn, calendar effects no longer remain
significant."
WANG, Ko, Yuming LI and John ERICKSON, 1997. A New Look at the Monday
Effect, The Journal of Finance, Vol. 52, No. 5. (Dec., 1997), pp. 2171-2186. [Cited by
43] (4.63/year)
Abstract: "It is well documented that expected stock returns vary with the day-of-
the-week (the Monday or weekend effect). In this article we show that the well-
known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks)
of the month. In addition, the mean Monday return of the first three weeks of the
month is not significantly different from zero. This result holds for most of the
subperiods during the 1962-1993 sampling period and for various stock return
indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt
(1988) cannot fully explain this phenomenon."
CHEN, Honghui and Vijay SINGAL, 2003. Role of Speculative Short Sales in Price
Formation: The Case of the Weekend Effect, The Journal of Finance, Volume 58,
Number 2, April 2003, pp. 685-706. [Cited by 14] (4.26/year)
Abstract: "We argue that short sellers affect prices in a significant and systematic
manner. In particular, we contend that speculative short sales contribute to the
weekend effect: The inability to trade over the weekend is likely to cause these
short sellers to close their speculative positions on Fridays and reestablish new
short positions on Mondays causing stock prices to rise on Fridays and fall on
Mondays. We find evidence in support of this hypothesis based on a comparison of
high short-interest stocks and low short-interest stocks, stocks with and without
actively traded options, IPOs, zero short-interest stocks, and highly volatile stocks."
CHAN, Su Han, Wai-Kin LEUNG and Ko WANG, 2004. The Impact of Institutional
Investors on the Monday Seasonal, The Journal of Business, Volume 77, Number 4
(October 2004), pages 967-986. [Cited by 9] (3.93/year)
Abstract: "It is well documented that the mean Monday return is significantly
negative and is lower than the mean return on other weekdays. Using institutional
stock holdings information during the 19811998 period, we document that the
Monday seasonal is stronger in stocks with low institutional holdings and that the
Monday return is not significantly different from the mean Tuesday to Friday returns
for stocks with high institutional holdings during the 19901998 period. Our study
provides direct evidence to support the belief that the Monday seasonal may be
related to the trading activities of less sophisticated individual investors."
LAKONISHOK, Josef and Maurice LEVI, 1982. Weekend Effects on Stock Returns: A
Note, The Journal of Finance, Vol. 37, No. 3. (Jun., 1982), pp. 883-889. [Cited by 92]
(3.79/year)
"SOME RESEARCHERS HAVE APPARENTLY been surprised to discover that the
distribution of stock returns depends on the day of the week. 1 Kenneth French [3],
for example, in testing whether daily stock returns are generated by a trading time
or calendar time hypothesis, provided convincing evidence of a negative market
return on Mondays. As French carefully notes, this finding runs counter to both
hypotheses, since a trading time view would have expected stock returns equal on
different days, and a calendar time view would have higher expected returns on
Monday to compensate for the longer holding period.
In this paper we offer a partial explanation for the apparently puzzling discovery of
different daily returns. We argue that the expected stock returns as measured, for
example, from closing prices, should depend on the day of the week. In general, we
argue that the expected returns on Mondays should be lower than would be implied
simply by a trading time or calendar time model, and the returns on Fridays should
be higher. In addition, we anticipate that holidays will have complex effects on stock
returns on other days of the week. Our argument is based on the delay between
trading and settlements in stocks and in clearing checks. The explanation that we
offer for different measured daily returns does not contradict the efficient market
hypothesis, as correctly adjusted expected returns should not differ according to the
day of the week."
\citeasnoun{}
AGGARWAL, Reena and Pietra RIVOLI, 1989. Seasonal and Day-of-the-Week
Effects in Four Emerging Stock Markets, The Financial Review, Vol. 24, Issue 4
(November 1989), Pages 541-550. [Cited by 54] (3.12/year)
The January effect and the weekend effect have proven to be persistent
anomalies in U.S. equity markets. The objective of this paper is to examine seasonal
and daily patterns in equity returns of four emerging markets: Hong Kong,
Singapore, Malaysia, and the Philippines. These markets are gaining importance
with the globalization of business; therefore, it is necessary to examine the
efficiency and functioning of these capital markets. Our analysis uses daily data for
the 12 years from September 1, 1976, to June 30, 1988. The results support the
existence of a seasonal pattern in these markets. Returns in the month of January
are higher than any other month for all markets examined except the Philippines. A
robust day-of-the-week effect is also found. These markets exhibit a weekend effect
of their own in the form of low Monday returns. In addition, there exists a strong
Tuesday effect, which may be related to the + 13 hour time difference between
New York and these emerging markets."
ARSAD, Zainudin and J. Andrew COUTTS. 1997. Security price anomalies in the
London International Stock Exchange: a 60 year perspective, Applied Financial
Economics, Volume 7, Number 5, 1 October 1997, pp. 455-464. [Cited by 29]
(3.12/year)
Abstract: "This paper investigates the existence of security price anomalies, or
calendar effects in the Financial Times Industrial Ordinary Shares Index over a 60
year period: 1 July 1935 through 31 December 1994. Our results broadly support
similar evidence documented for many countries concerning stock market
anomalies, as the weekend, January and holiday effects all appear, to some extent,
to be present in our data set. We conclude, that even if these anomalies are
persistent in their occurrence and magnitude, the cost of implementing any
potential trading rules may be prohibitive due to the illiquidity of the market and
round trip transactions costs. This is of course perfectly consistent with the notion
of market efficiency, in that no strategy exists that will consistently yield abnormal
returns."
SIAS, Richard W. and Laura T. STARKS, 1995. The Day-of-the-Week Anomaly: The
Role of Institutional Investors, Financial Analysts Journal, May/June 1995, Vol. 51, No.
3: pp. 58-67. [Cited by 33] (2.92/year)
CHOUDHRY, T., 2000. Day of the week effect in emerging Asian stock markets:
evidence from the GARCH model, Applied Financial Economics, Volume 10, Number
3, 1 June 2000, pp. 235-242. [Cited by 18] (2.86/year)
Abstract: "This paper investigates the day of the week effect on seven emerging
Asian stock markets returns and conditional variance (volatility). The empirical
research was conducted using the GARCH model and daily returns from India,
Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand from January
1990 to June 1995. Results obtained indicate the significant presence of the day of
the week effect on both stock returns and volatility, though the result involving both
the return and volatility are not identical in all seven cases. Results also show that
these effects may be due to a possible spill-over from the Japanese stock market."
\citeasnoun{}
CHEN, G., 2001. The day-of-the-week regularity in the stock markets of
China. Journal of Multinational Financial Management. [Cited by 15] (2.84/year)
\citeasnoun{}
CROSS, Frank, 1973. The Behavior of Stock Prices on Fridays and
Mondays, Financial Analysts Journal, November/December 1973, Vol. 29, No. 6: 67-
69. [Cited by 91] (2.73/year)
MEHDIAN, Seyed and Mark J. PERRY, 2001. The Reversal of the Monday Effect:
New Evidence from US Equity Markets, Journal of Business Finance & Accounting,
Volume 28, Numbers 7-8, September/October 2001, pp. 1043-1065. [Cited by 14]
(2.65/year)
Abstract: "This article re-examines the Monday effect in the US stock market from
1964-1999 using daily returns from three large-cap indexes and two small-cap
indexes. In the period before 1987, Monday returns are significantly negative in all
five US stock indexes, confirming previous empirical findings. In the post-1987
period, we uncover a significant reversal of the Monday effect in the large-cap
indexes (NYSE, S&P500 and DJCOMP), since Monday returns are significantly
positive. Furthermore, significant differences in the persistence and reversal of the
Monday effect are found between large-cap and small-cap stock indexes."
\citeasnoun{}
BALABAN, Ercan, 1995. Day of the week effects: new evidence from an emerging
stock market, Applied Economics Letters, Volume 2, Number 5, 1 May 1995, pp.
139-143. [Cited by 29] (2.57/year)
Abstract: "The primary objective is to investigate day of the week effects in an
emerging stock market of a developing country, namely Turkey. Empirical results
verify that although day of the week effects are present in Istanbul Securities
Exchange Composite Index (ISECI) return data for the period January 1988 to August
1994, these effects change in direction and magnitude through time."
CLARE, A.D., M.S.B. IBRAHIM and S.H. THOMAS, 1998. The Impact of Settlement
Procedures on Day-of-the-week Effects: Evidence from the Kuala Lumpur Stock
. Journal of Business Finance & Accounting. [Cited by 10] (1.21/year)
MILLER, E.M., L.J. PRATHER and M.I. MAZUMDER, 2003. Day-of-the-Week Effects
among Mutual Funds.. Quarterly Journal of Business and Economics.[Cited by 4]
(1.21/year)
CHOW, E.H., P. HSIAO and M.E. SOLT, 1997. Trading Returns for the Weekend
Effect Using Intraday Data. Journal of Business Finance and Accounting.[Cited by 11]
(1.18/year)
COUTTS, J.A., 1999. The weekend effect, the Stock Exchange Account and the
Financial Times Industrial Ordinary Shares . Applied Financial Economics.[Cited by
8] (1.10/year)
CONNOLLY, R.A., 1991. A posterior odds analysis of the weekend effect, Journal
of Econometrics 49:51-104. [Cited by 15] (0.98/year)
ZIEMBA, W., T., 1991, Japanese security market regularities: monthly, turn-of-
the-month and year, holiday and Golden Week effects. Japan and the World
Economy 3:119-146. [Cited by 11] (0.68/year)
HERWARTZ, H., 2000. Weekday dependence of German stock market
returns. Applied Stochastic Models in Business and Industry. [Cited by 4] (0.64/year)
DYL, E.A. and S.A. MARTIN, 1985. Weekend Effects on Stock Returns: A
Comment. The Journal of Finance. [Cited by 12] (0.56/year)
MABERLY, Edwin D., 1995. Eureka! Eureka! Discovery of the Monday Effect
Belongs to the Ancient Scribes, Financial Analysts Journal, September/October 1995,
Vol. 51, No. 5: 10-11. [Cited by 6] (0.53/year)\citeasnoun{}
CHOY, A.Y.F. and J.O.'.H.A.N.L.O.N. , 1989. Day-of-the-week effects in the UK
equity market: a cross sectional analysis. Journal of Business Finance and
Accounting. [Cited by 6] (0.35/year)
BALL, R. and J. BOWERS, 1988. Daily Seasonals in Equity and Fixed-Interest
Returns: Australian Evidence and Tests of Plausible . Stock Market Anomalies.
[Cited by 6] (0.33/year)
FIELDS, M.J., 1931. Stock Prices: A Problem in Verification, The Journal of
Business of the University of Chicago, Vol. 4, No. 4. (Oct., 1931), pp. 415-418. [Cited
by 20] (0.27/year)
HIRSCH, Y., 1986. Don't Sell Stocks on Monday. Facts on File New York, NY.
[Cited by 3] (0.15/year)
COURSEY, D.L. and E.A. DYL, 1986. Price Effects of Trading Interruptions in an
Experimental Market. Unpublished working paper, Department of Economics,
. [Cited by 2] (0.10/year)
CHANG, E.C., 1994. European Day-of-the Week Effects, Beta Asymmetries, and
International Herding/Y Eric C. Chng, J. . Center for International Business
Education and Research, . [not cited] (0/year)
O'Hanlon, J. & Papaspirou, P. (1988). The daily behaviour of national equity
markets: seasonal patterns and inter-relationships. Investment Analyst, (89), 26-35.
Cointegration
Cointegration (Engle and Granger, 1987) is an econometric technique for
testing the relationship between non-stationary time series variables. If two or
more series each have a unit root, that is I(1), but a linear combination of them
is stationary, I(0), then the series are said to be cointegrated.
For example, a stock market index and the price of its associated futures
contract, whilst both following a random walk, will be in a long-run
equilibrium and deviations from this equilibrium will be stationary.
Robert Engle and Clive Granger shared the 2003 Bank of Sweden Prize in
Economic Sciences in Memory of Alfred Nobel, the latter's portion due to his
contribution to the development of cointegration.
Sewell (2006)
Books
Amazon.com: Books Search Results: cointegration
7. MADDALA, G.S. and I.M. KIM, 1999. Unit Roots, Cointegration, and
Structural Change. books.google.com. [Cited by 411] (62.78/year)
Wikipedia: Cointegration
Bibliography
ALBEROLA, E., et al., 1999. Rates: Euro, Dollar,Ins,Outs, and Other
Major Currencies in a Panel Cointegration . IMF Working Papers.[Cited by
54] (8.25/year)
CAMPBELL, J.Y. and R.J. SHILLER, 1987. Cointegration and Tests of Present
Value Models. The Journal of Political Economy. [Cited by 488] (26.31/year)
CAMPOS, J., N.R. ERICSSON and D.F. HENDRY, 1993. Cointegration tests
in the presence of structural breaks. [Cited by 60] (4.78/year)
E, D.E. and P.L. DA, 2000. Cointegration analysis in the presence of structural
breaks in the deterministic trend. Econometrics Journal. [Cited by 70]
(12.62/year)
ENDERS, W., 1988. Arima and Cointegration Tests of PPP under Fixed and
Flexible Exchange Rate Regimes. The Review of Economics and Statistics.
[Cited by 58] (3.31/year)
FISHER, E.O.N. and J.Y. PARK, 1991. Testing Purchasing Power Parity under
the Null Hypothesis of Co-Integration. The Economic Journal. [Cited by 39]
(2.68/year)
HAFER, R.W. and D.W. JANSEN, 1991. The Demand for Money in the United
States: Evidence from Cointegration Tests.. Journal of Money, Credit &
Banking. [Cited by 61] (4.19/year)
HAKKIO, C.S. and M. RUSH, 1990. Cointegration: how short is the long run?.
[Cited by 140] (9.01/year)
HARRIS, F.H., et al., 1995. Cointegration, error correction, and price discovery
on informationally linked security markets. Journal of Financial and
Quantitative Analysis. [Cited by 39] (3.70/year)
HOLDEN, D. and R. PERMAN, 1994. Unit roots and cointegration for the
economist. Rao, BB (1994). Cointegration for the applied economist. .[Cited
by 46] (3.98/year)
HORVATH, M.T.K. and M.W. WATSON, 1995. Testing for cointegration when
some of the cointegrating vectors are prespecified. Econometric Theory.[Cited
by 74] (7.02/year)
JOHANSEN, S. and K. JUSELIUS, 1994. The role of the constant and linear
terms in cointegration analysis of nonstationary variables. Econometric
Reviews. [Cited by 99] (8.57/year)
JOHANSEN, S., 1991. Testing weak exogeneity and the order of cointegration
in UK money demand data. Helsinki: University of Helsinki. [Cited by 108]
(7.42/year)
KAO, C., M.H. CHIANG and B. CHEN, 1999. International R & D Spillovers:
An Application of Estimation and Inference in Panel Cointegration.Oxford
Bulletin of Economics and Statistics. [Cited by 60] (9.17/year)
KIM, Y., 1990. Purchasing Power Parity in the Long Run: A Cointegration
Approach.. Journal of Money, Credit & Banking. [Cited by 78] (5.02/year)
KREMERS, J.J.M., N.R. ERICSSON and J.J. DOLADO, 1992. The Power of
cointegration tests. [Cited by 259] (19.12/year)
MACKINNON, J.G., 1995. Numerical distribution functions for unit root and
cointegration tests. [Cited by 104] (9.86/year)
MADDALA, G.S. and I.M. KIM, 1999. Unit Roots, Cointegration, and
Structural Change. books.google.com. [Cited by 411] (62.78/year)
MARK, N.C. and D. SUL, 2003. Cointegration Vector Estimation by Panel
DOLS and Long-run Money Demand*. Oxford Bulletin of Economics and
Statistics. [Cited by 47] (18.46/year)
PARK, J.Y., 1990. Testing for Unit Roots and Cointegration by Variable
Addition. Advances in Econometrics. [Cited by 69] (4.44/year)
SHIN, Y., 1994. A residual-based test of the null of cointegration against the
alternative of no cointegration. Econometric Theory. [Cited by 117] (10.13/year)