Rational investor hypothesis, efficient markets hypothesis(EMH), and random walk of yield rate are three basic concepts of modern capital market theory. However, it could not be proved that real capital markets are full with rational investors. The theory, which regards the price movement of capital market as random walks, and regards the yield time series as a normal distribution, is not suppo...

Predictability of Asset Returns and the Efficient Market Hypothesis This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk aversion and market efficiency. T...

We test the nature of weak form informational efficiency present in wine market using daily return LIV-EX 50 index from 1/1/2010 to 12/6/2020. First, we employ a number statistical tests including variance ratio tests, for linear and non-linear dependence Hurst coefficient. The are applied on full dataset four non overlapping sub-samples equal length. provide mixed regarding efficiency. Evidenc...

A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by the efficient market hypothesis (EMH). By introducing different propensities into a baseline model that displays EMH behaviour, one can attempt to isola...