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Journal article
Market Efficiency and News Dynamics: Evidence from International Equity Markets
Economies, v 7(1), pp 1-17
01 Feb 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence of market volatility correlations. The null for testing the absence of correlations between stock returns and lagged news measured by lagged economic policy uncertainty (EPU) is rejected for all markets under investigation. The evidence indicates that a change of lagged EPUs positively predicts conditional variance.
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Details
- Title
- Market Efficiency and News Dynamics: Evidence from International Equity Markets
- Creators
- Thomas C. Chiang - Drexel University
- Publication Details
- Economies, v 7(1), pp 1-17
- Publisher
- Mdpi
- Number of pages
- 17
- Grant note
- Le Bow College of Business, Drexel University
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000464038400003
- Scopus ID
- 2-s2.0-85063373883
- Other Identifier
- 991019167539704721
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- Web of Science research areas
- Economics