The Study of the “Size Effect” on the Market Efficiency and the Market Anomalies in NASDAQ

DOI

10.2991/assehr.k.211209.516How to use a DOI?

Keywords

Efficient Market Hypothesis (EMH); market anomalies; VR ratio; size effect

Abstract

Since the Efficient Market Hypothesis was proposed by Eugene Fama in 1970, it has been continuously challenged by various market anomalies and financial empirical evidence in the U.S. stock market. Inspired by the reserve effect, the momentum effect and the effect size discovered by De Bondt and Thaler, Jegadeesh and Titmanand Banz respectively, this paper reasonably speculates that there is also a “size effect”[1] on both the degree of market efficiency and the frequency of market anomalies [2]. Taking the NASDAQ stock exchange as the research object, this paper uses the VR ratio method proposed by Lo and MacKinlay to test the efficiency of the Nasdaq market, and then uses event analysis and Debondt and Thaler methods to separate the abnormal frequency of the Nasdaq market and test whether there is “scale effect”. This paper concludes that there is a “size effect” in the degree of market efficiency and the frequency of market anomalies in NASDAQ. Finally, this paper proposes an investment strategy based on the findings.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Siling Pan
AU  - Congrui Yin
AU  - Yu Ai
AU  - Zhiheng Li
PY  - 2021
DA  - 2021/12/15
TI  - The Study of the “Size Effect” on the Market Efficiency and the Market Anomalies in NASDAQ
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 3151
EP  - 3160
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.516
DO  - 10.2991/assehr.k.211209.516
ID  - Pan2021
ER  -