Detailed Information on Publication Record
2023
TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION
GAJIĆ, Nenad, Vanja GROZDIĆ, Jelena DEMKO RIHTER and Jarmila DUHÁČEK ŠEBESTOVÁBasic 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
Language
English
Type of outcome
Článek v odborném periodiku
Field of Study
50202 Applied Economics, Econometrics
Country of publisher
Serbia
Confidentiality degree
není předmětem státního či obchodního tajemství
References:
RIV identification code
RIV/47813059:19520/23:A0000413
Organization unit
School of Business Administration in Karvina
Keywords in English
market; efficiency; stock; price; prediction
Tags
International impact, Reviewed
Změněno: 22/12/2023 11:02, doc. Mgr. Ing. Jarmila Duháček Šebestová, Ph.D.
Abstract
V originále
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.