AN EMPIRICAL STUDY OF WEAK AND SEMI-STRONG MARKET EFFICIENCY IN LIGHT OF THE GREAT RECESSION
Open Access
Author:
Mckellar, Jonathan Unruh
Area of Honors:
Economics
Degree:
Bachelor of Science
Document Type:
Thesis
Thesis Supervisors:
Dr. Russell Paul Chuderewicz, Thesis Supervisor Dr. Russell Paul Chuderewicz, Thesis Honors Advisor James R. Tybout, Faculty Reader
Keywords:
Market Efficiency Unit Root Test Serial Correlation Runs Test Variance Ratio Test Martingale Hypothesis Event Study
Abstract:
Market efficiency has posed a continuing challenge to academics and researchers in financial economics. Predicating that asset prices fully build in all information, Fama’s Efficient Market Hypothesis sparked decades of investigation into whether such equity prices are informationally efficient. The main thrust of this paper involves a thorough investigation into the variety of testing methodologies for weak form market efficiency, yielding interesting results when financial stocks are contrasted with other stocks (such as technology companies or stock indices). There is also attention devoted to an event study for testing semi-strong market efficiency and brief commentary on strong efficiency.
