مقاله انگلیسی رایگان در مورد بازده بازار سهام: تحلیل تطبیقی بازارهای سهام – الزویر 2018

The efficient market hypothesis1 (EMH) has received a great deal of recognition in the literature as a theoretical device, which furthers understanding and promotion of quality financial markets. Different studies have looked to better understand and examine the efficient market hypothesis through incorporating available information regarding stock prices. The movements of stock prices (or any financial/economic series) are commonly described as the ‘random walk’. These movements of stock prices (i.e., random walk) are hard to predict as they change without any pattern or limits over the long run. Moreover, future stock returns cannot be predicted on the basis of historical price information if the stock prices follow a random walk. On the other hand, if a random walk is not followed, the stock prices would track a trend over time which can help in predicting future returns by extrapolating historical prices. Therefore, a market is said to be in a weak form of efficiency if all the past information contained in stock price movements is fully reflected in the current stock prices (Fama, 1970). Confirmation of the efficient market hypothesis has been considered a sufficient condition for a long time; however, the rejection of the random walk hypothesis does not necessarily support an inference that stock price information or stock markets are inefficient. Stock prices follow a random walk with either a positive or a zero drift as implied by the EMH. Efficient resource allocation in an economy is impacted by an inefficient stock market because the effect of new information on the stock prices is likely to be understated or overstated (Pagan, 1996). Post EMH, researchers have claimed that it is Utopian and unrealistic to expect a completely efficient market; however, current studies, for example, Zunino et al., (2008) and Wang et al., (2009), have shown that the stock markets are indeed evolving and becoming more efficient with the passage of time. Furthermore, the concept of achieving pure market efficiency has been a subject of academic and professional debate for years due to several reasons. Firstly, it is expected that risk-weighted returns would be greater in inefficient stock markets. Thus, an examination of stock market efficiency is vital for individual2 and institutional investors in both the private and public sectors. A thorough knowledge and understanding of the EMH concept is critical for corporate managers because the actual and perceived value of companies is determined by their decisions and actions. For equity market supervisors and operators, EMH is imperative as it helps decisionmaking in the development of equity markets. Lastly, the efficient market hypothesis is an important underlying assumption in numerous financial models. Hence, from the perspective of investors, regulators, and policy makers, the examination of EMH (i.e., whether stock prices follow a random walk or a mean reverting process) is crucial.