GAJIĆ, Nenad, Vanja GROZDIĆ, Jelena DEMKO RIHTER and Jarmila DUHÁČEK ŠEBESTOVÁ. TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION. FACTA UNIVERSITATIS Series: Economics and Organization. Novi Sad: University of Niš, 2023, vol. 20, No 3, p. 171-189, 20 pp. ISSN 0354-4699. Available from: https://dx.doi.org/10.22190/FUEO230717011G.
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Basic information
Original name TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION
Authors GAJIĆ, Nenad (688 Serbia, guarantor), Vanja GROZDIĆ (688 Serbia), Jelena DEMKO RIHTER (688 Serbia) and Jarmila DUHÁČEK ŠEBESTOVÁ (203 Czech Republic, belonging to the institution).
Edition FACTA UNIVERSITATIS Series: Economics and Organization, Novi Sad, University of Niš, 2023, 0354-4699.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Serbia
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/23:A0000413
Organization unit School of Business Administration in Karvina
Doi http://dx.doi.org/10.22190/FUEO230717011G
Keywords in English market; efficiency; stock; price; prediction
Tags International impact, Reviewed
Changed by Changed by: doc. Mgr. Ing. Jarmila Duháček Šebestová, Ph.D., učo 19986. Changed: 22/12/2023 11:02.
Abstract
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.
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