The EMH and the market anomalies: an empirical analysis on Italian stock market

Matteo Rossi and Gerarda Fattoruso

International Journal of Managerial and Financial Accounting, 2017, vol. 9, issue 3, 222-241

Abstract: This paper describes the contrast between traditional economic theories that assume the absolute rationality of individuals (Fama, 1965) and behavioural finance, which considers the irrationality of the decision maker. Beginning from previous studies (Agrawal and Tandon, 1994; Chen and Singal, 2003; and particularly Barone, 1990), the study attempted to verify the existence of anomalies in the Italian stock market (MIB). The study was directed towards the exploration of the major calendar effects in the period 1/3/2005-12/30/2015.

Keywords: behavioural finance; EMH; efficient market hypothesis; Italian stock market; weekend effect; January effect. (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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