Why do stock prices follow a random walk?

This research's objective is to see market efficiency form on Indonesia stocks market. Using daily stocks price data gathered from LQ45 Index, Jakarta Islamic Index (JII), and Kompas 100 Index during the periods of 2013 until 2014. Statistical test using run test and serial correlation test to examine weak form efficiency. The result findings showing that Indonesia stock market has been categorized as weak form efficiency. The statistical testing was done and the result are: 1) the daily stocks price movement is random walk, 2) the stock price movement has no correlation between the present day and the previous day.

Financial markets are complex systems. Even with the prudent notion of inefficiency pockets, the efficient market hypothesis (EMH) is incapable to cope with the possible consequences of complexity in the relationship between information, price and value. Despite savant and sophisticated negative heuristics, the EMH can no longer provide sufficient theoretical conditions to consider the presence of market phases that are reconcilable with it. In other words, market patterns cannot be considered ‘accidental’ effects and/or even be caused by a criterion that is linked to informational inefficiency. This paper shows that markets could behave independently of the concepts and terminology of the EMH, and that computational irreducibility found in complex systems demonstrates its invalidity. As a principle, autonomous price patterns can emerge out of complexity, and this reduces the meaning of the concepts of efficiency or inefficiency, interrogates the causality of the relationship between information and price, and questions the univocity of the relationship between value and price. Since such patterns have been observed and reported abundantly in technical analysis literature, they are to be considered as the outcome of complexity at work. Therefore, in a more sophisticated approach of both uncertainty and determinism, forecasting price behavior is an essential possibility of complexity at work and this consideration may lead to a renewed approach of appraising risks.

Given the importance of the financial markets in the global context, data analysis and new statistical approach are always welcome, especially if we are referring to G-20 group (the world's richest countries). As we know, the pandemic outbreak of COVID-19 has affected the global economy, and its impact seems to be inevitable (as it was in 2020). From the perspective of what was raised above, this paper aims to analyze the stock market efficiency in 21 indexes of G-20. We are going to do our analysis with intraday scale (of hour), from May 2019 to May 2020. In order to be successful in this analysis, we applied the DFA and the DCCA methods, to identify or not two points:

Are G-20 stock market efficient in their weak form?

With open/close values, it is possible to identify some type of memory in G-20 group?

In this paper, we investigate the effects of margin purchases and short sales on the return volatility in the Chinese stock market during the COVID-19 outbreak. We present two main findings. First, we show that stocks with higher level of margin-trading activity exhibit higher return volatility. The COVID-19 outbreak amplifies the destabilizing effects of margin-trading activity. Second, no evidence shows that short selling destabilizes the stock market in general. However, we observe that intensified short-selling activity is associated with lower return volatility when infection risk is high during the COVID-19 crisis.

There is a growing controversy as to the impact of private equity acquisitions, especially in terms of their impact on employment and subsequent organizational performance. It has been suggested that closer owner supervision and the injection of a new management team revitalize the acquired organization and unlock dormant capabilities and value. However, both politicians and trade unionists suggest that private equity acquirers may significantly reallocate value away from employees to short term investors, typically through layoffs and reduced wages, which may undermine future organizational sustainability. This article investigates this in the context of a sample of institutional buy outs (IBOs) undertaken in the UK between 1997 and 2006. Specifically we examine the impact of IBOs on both employment and remuneration against two control groups of non-acquired firms. In designing our study we follow the empirical approach taken by Conyon et al., 2001, Conyon et al., 2002 in investigating the employment consequences of regular takeovers. Our main finding is a significant loss in employment in firms subject to an IBO in the year immediately following the acquisition as well as lower wage rates, when compared to either of the two control groups. Furthermore, we find no evidence of a subsequent improvement either in productivity or profitability in the acquired businesses.

This paper focuses on a complete review of the evolution of Efficient Market Hypothesis and Behavioral Finance. The main purpose of the paper is to understand how the traditional finance theories (EMH) failed in understanding the market anomalies and the human behaviour involved in investment decision making process. Further, the study attempts to understand the evolution of a novel discipline Behavioral Finance. The review and discussion of literature is mainly divided into two sections – evolution of Efficient Market Hypothesis (EMH) and studies providing evidences on the failure of EMH; studies on the evolution of Behavioral Finance and studies of investor behaviour. The study found that EMH theory was one the dominant theory conceptualised by Eugene Fama during 1960′s. The EMH model became a prominent financial model explaining the stock market behaviour in 1970’s i.e. first decade of its conception and was widely considered as the best model by the investment community in large. The 1980s is a very significant decade, where several studies provoked to question the validity of EMH. The study also focused on highlighting the gaps in the concept of market efficiency and bridged the gap with a contemporary approach of Behavioral Finance.