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- W1993440767 abstract "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." @default.
- W1993440767 created "2016-06-24" @default.
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- W1993440767 date "2015-02-05" @default.
- W1993440767 modified "2023-09-27" @default.
- W1993440767 title "Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector" @default.
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- W1993440767 doi "https://doi.org/10.1080/00036846.2015.1005828" @default.
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