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Market Efficiency and News Dynamics: Evidence from International Equity Markets

Department of Finance, LeBow College of Business, Drexel University, Philadelphia, PA 19104, USA
Economies 2019, 7(1), 7; https://doi.org/10.3390/economies7010007
Received: 14 November 2018 / Revised: 10 January 2019 / Accepted: 24 January 2019 / Published: 1 February 2019
(This article belongs to the Special Issue Efficiency and Anomalies in Stock Markets)
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Abstract

This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the independence of market volatility correlations. The null for testing the absence of correlations between stock returns and lagged news measured by lagged economic policy uncertainty (EPU) is rejected for all markets under investigation. The evidence indicates that a change of lagged EPUs positively predicts conditional variance. View Full-Text
Keywords: efficient market; economic policy uncertainty; random walk; news; Asian market; G7 market efficient market; economic policy uncertainty; random walk; news; Asian market; G7 market
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Chiang, T.C. Market Efficiency and News Dynamics: Evidence from International Equity Markets. Economies 2019, 7, 7.

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