J 2023

TESTING MARKET EFFICIENCY: THE ROAD TO INTRINSIC VALUATION

GAJIĆ, Nenad, Vanja GROZDIĆ, Jelena DEMKO RIHTER and Jarmila DUHÁČEK ŠEBESTOVÁ

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

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:

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
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.
Displayed: 19/11/2024 18:44