I need to conduct a study on the Efficient Market Hypothesis. I would like to use the UK stock market to test the following hypothesis:
Share prices in the UK stock market will react fully and instantaneously to information provided in relation to specific events under the assumptions of semi strong efficiency within the EMH model.
Can anyone suggest how I can test this, how would I carry out an observational study - what calculations / formulas would I use??
Thanks
2007-11-20 12:57:41 · 3 answers · asked by Anonymous in Business & Finance ➔ Investing
The method for doing this is discussed in the book THE ECONOMETRICS OF FINANCIAL MARKETS by Campbell, Lo and MacKinley.
2007-11-20 13:42:48 · answer #1 · answered by Ranto 7 · 0⤊ 0⤋
Ranto has explained. However I think your were right to add a question mark to Efficient Market (Hypothesis)
2007-11-21 03:36:43 · answer #2 · answered by JOHN R 4 · 0⤊ 0⤋
Use Time Series Analysis probably intervention analysis, transfer function and vector autoregression.
2007-11-20 13:17:04 · answer #3 · answered by megan1410 2 · 0⤊ 0⤋