Econophysics

Chapter 3

The Efficiency of Capital MarketsHypothesis or Approximation

Gheorghe Săvoiu¹ and Constantin Andronache²

¹University of Piteşti, Faculty of Economics, Romania

²Boston College, Chestnut Hill, MA, USA

3.1Introduction: Defining Market Efficiency

3.1.1 Criticism of the “Market Efficiency” Concept

3.1.2 Types of Market Informational Efficiency

3.2 Test of Market Efficiency

3.2.1 Weak from Tests

3.2.2 The Random Walk Model

3.3 Data and Procedure

3.4 Variability of Market Efficiency

3.5 Conclusions

Acknowledgments

References

3.1 Introduction: Defining Market Efficiency

The efficient market hypothesis (EMH) is getting new consideration in recent studies of financial markets in part due to the need for a baseline price model and in part due ...