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A multidimensional classification of market anomalies: Evidence from 76 price indices

Doyle, John R. and Chen, Catherine Huirong 2012. A multidimensional classification of market anomalies: Evidence from 76 price indices. Journal of International Financial Markets, Institutions and Money 22 (5) , pp. 1237-1257. 10.1016/j.intfin.2012.07.003

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Abstract

This paper makes the first attempt to present explicit empirical evidence that market inefficiency can be multi-dimensional. Testing the Efficient Market Hypothesis (EMH) over 76 stock indices using 17 best established indicators (e.g. runs test), we show that most indices exhibit some type(s) of anomaly and that indicators differ from each other in terms of statistical power and/or the type of anomaly detected. A principal components analysis (PCA) demonstrates that indicators group along orthogonal dimensions, and hence a market can exhibit short-term memory, long-term memory and/or calendar effects, which are all distinct sources of possible inefficiency. This research presents statistical evidence on the extent and nature of market inefficiency, offers possible explanations for conflicting previous findings, and provides new insights into studying market efficiency.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Uncontrolled Keywords: Market efficiency; EMH; Stock indices; Statistical tests; Multi-dimensional
Publisher: Elsevier
ISSN: 1042-4431
Last Modified: 05 Nov 2019 03:29
URI: http://orca.cf.ac.uk/id/eprint/37745

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