Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector

Narayan, Paresh Kumar, Narayan, Seema, Popp, Stephan and Ali Ahmed, Huson 2015, Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector, Applied economics, vol. 47, no. 23, pp. 2359-2378, doi: 10.1080/00036846.2015.1005828.

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Title Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
Narayan, Seema
Popp, Stephan
Ali Ahmed, HusonORCID iD for Ali Ahmed, Huson orcid.org/0000-0002-0186-2564
Journal name Applied economics
Volume number 47
Issue number 23
Start page 2359
End page 2378
Total pages 20
Publisher Taylor & Francis
Place of publication London, Eng.
Publication date 2015
ISSN 0003-6846
1466-4283
Keyword(s) efficient market hypothesis
structural breaks
trading strategies
unit root test
Summary In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall, for only 62% of firms, the unit root null hypothesis is rejected on all the five trading days. We also discover that when investors do not account for unit root properties in devising trading strategies, they obtain spurious profits.
Language eng
DOI 10.1080/00036846.2015.1005828
Field of Research 150202 Financial Econometrics
150203 Financial Institutions (incl Banking)
150299 Banking, Finance and Investment not elsewhere classified
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30071672

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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