TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

@article{74382,
   author = {Gajić, Nenad and Grozdić, Vanja and Demko Rihter, Jelena and Duháček Šebestová, Jarmila},
   article_location = {Novi Sad},
   article_number = {3},
   doi = {http://dx.doi.org/10.22190/FUEO230717011G},
   keywords = {market; efficiency; stock; price; prediction},
   language = {eng},
   issn = {0354-4699},
   journal = {FACTA UNIVERSITATIS Series: Economics and Organization},
   title = {TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION},
   url = {http://casopisi.junis.ni.ac.rs/index.php/FUEconOrg/article/view/12000/5080},
   volume = {20},
   year = {2023}
}

TY  - JOUR
ID  - 74382
AU  - Gajić, Nenad - Grozdić, Vanja - Demko Rihter, Jelena - Duháček Šebestová, Jarmila
PY  - 2023
TI  - TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION
JF  - FACTA UNIVERSITATIS Series: Economics and Organization
VL  - 20
IS  - 3
SP  - 171-189
EP  - 171-189
PB  - University of Niš
SN  - 03544699
KW  - market
KW  - efficiency
KW  - stock
KW  - price
KW  - prediction
UR  - http://casopisi.junis.ni.ac.rs/index.php/FUEconOrg/article/view/12000/5080
N2  - The paradigm of market equilibrium and the “efficient-market hypothesis” tied to it, dealing specifically with the behavior of capital markets, has no explanation for financial bubbles and their bursting that is leading to stock market crashes. Accordingly, the main goal of this paper is to discuss the inefficiency of markets, with examples of corporate decisions that directly abuse such inefficiency to psychologically motivate desired behavior of potential customers. To test the efficiency market hypothesis, we have used Stoxx Europe 600 index historical closing daily prices, for the period from 2012–2022. Using both non-parametric and parametric tests, such as the Kolmogorov–Smirnov test, run–test for random order, and ARIMA regression, we reject the hypothesis that the market is efficient in a weak form because it doesn’t follow a random walk. Also, basic-level problems of economic theory were analyzed, emphasizing the view that perhaps the time has come to align the fundamentals of economic theory with basic concepts that have been used in practice for years.
ER  - 

GAJI$\backslash$'C, Nenad, Vanja GROZDI$\backslash$'C, Jelena DEMKO RIHTER a Jarmila DUHÁČEK ŠEBESTOVÁ. TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION. \textit{FACTA UNIVERSITATIS Series: Economics and Organization}. Novi Sad: University of Niš, 2023, roč.~20, č.~3, s.~171-189, 20 s. ISSN~0354-4699. Dostupné z: https://dx.doi.org/10.22190/FUEO230717011G.