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Title :Efficient market hypothesis: the case of the London Stock Exchange
Creator :Vidali, Maria
Βιδάλη, Μαρία
Contributor :Tzavalis, Elias (Επιβλέπων καθηγητής)
Arvanitis, Stylianos (Εξεταστής)
Vrontos, Ioannis (Εξεταστής)
Athens University of Economics and Business, Department of Economics (Degree granting institution)
Type :Text
Extent :98p.
Language :en
Abstract :Plenty of papers have been published for the Efficient Market Hypothesis (EMH) whereas is the foundation of the financial theory. In the core of the Efficient Market Hypothesis (EMH) theory, is the idea that the future prices cannot be predicted based on the current information set i.e. past and current prices, and economic variables. Several statistical models have been developed through the years having this property for the variables. One of the most famous and most used models in the bibliography is the Random Walk Model.The purpose of this thesis is not to be one of a numerous published researches for the market efficiency but, to clarify for the reader the theory and the implications of this hypothesis by collecting the main principles from different sources, so as to comprehend deeply its sense. Besides the theoretical intention, an empirical study is presented in order to set a more solid background to the reader and prove that under appropriate conditions the Efficient Market Hypothesis is not a theoretical assumption but, in practice it may apply.For the implementation of the empirical work, the data from the London Stock Exchange, especially the FTSE 100, are used. The choice of this stock market becomes because it is the most international stock exchange, the largest in Europe and the fourth largest in whole the world. Therefore, it would be interesting if it was proved that this stock market is efficient since it affects the global economy. Applying some tests which are described analytically for easy understanding, it is proved that the London Stock Exchange is a market weak efficiency as it was expected. However, it seems that some short run anomalies such as January Effect occur.
Subject :Efficient Market Hypothesis (EMH)
Random walk
Weak form
January effect
London Stock Exchange
Unit root
Date Issued :05-2013
Licence :

File: Vidali_2013.pdf

Type: application/pdf