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Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector
journal contributionposted on 2015-01-01, 00:00 authored by Paresh Narayan, S Narayan, S Popp, Huson Ali Ahmed
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.