Economics at your fingertips  

Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Huijian Dong (), Helen Bowers () and William Latham
Additional contact information
Huijian Dong: Department of Economics, Pacific University
Helen Bowers: Department of Finance,University of Delaware

No 13-07, Working Papers from University of Delaware, Department of Economics

Abstract: This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) close, (3) intra-day high, (4) intra-day low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as controls. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect.

Keywords: financial market; efficient market hypothesis; contagion; interdependence; equity; bond (search for similar items in EconPapers)
JEL-codes: J16 J30 J31 J70 J71 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2013
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Economics Research International

Downloads: (external link) ... s/2013/UDWP13-07.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found ( [301 Moved Permanently]-->

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from University of Delaware, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Saul Hoffman ().

Page updated 2024-07-22
Handle: RePEc:dlw:wpaper:13-07.