The study of stock market efficiency has been the objective of many researches across the globe since the last few decades. However, the evidence is mixed on whether the stock market is efficient. While some studies conclude that the stock markets are efficient, other studies cast doubt on this conclusion. In addition, efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the issue. Stock market efficiency suggests that stock prices incorporate a... 

【文章來(lái)源】：南昌大學(xué)江西省 211工程院校

【文章頁(yè)數(shù)】：70 頁(yè)

【學(xué)位級(jí)別】：碩士

【文章目錄】：
ABSTRACT
Declaration of Authorship
Dedication
Acknowledgments
List of Figures,Tables and Picture
Notation
CHAPTER ONE-INTRODUCTION
CHAPTER TWO
    2.1 The Concept of Efficiency
    2.2 The Random Walk Model
    2.3 Classification of Market Efficiency
        2.3.1 Weak Form Market Efficiency
        2.3.2 Semi-Strong-Form Market Efficiency
        2.3.3 Strong Form Efficiency
    2.4 New Classification for Market Efficiency
    2.5 Event Studies
    2.6 Capital Asset Pricing Model（CAPM）
    2.7 Stock Market Anomalies
        2.7.1 Value,Size and Other Regularities
        2.7.2 Tests of Fundamental Valuation
        2.7.3 Tests of Overreaction and Under Reaction
        2.7.4 Time Pattern
    2.8 EMH and Time Series Behaviour
    2.9 Market Microstructure
    2.10 Problems in Testing Market Efficiency
    2.11 Summary and Formal Definition of the Concept
CHAPTER THREE-DATA AND METHODOLOGY
    3.1 Data Sourceand Classification
    3.3 Non-Parametric Tests of Market Efficiency
        3.3.1 Run Test
        3.3.2 Auto Correlation Function Test
CHAPTER FOUR-RESULTS AND FINDING
    4.1 ACF Results of Daily Returns
CHAPTER FIVE-SUMMARY AND CONCLUSIONS
    5.1 Summary
    5.2 Conclusion
REFERENCES



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