The Study of the “Size Effect” on the Market Efficiency and the Market Anomalies in NASDAQ
- 10.2991/assehr.k.211209.516How to use a DOI?
- Efficient Market Hypothesis (EMH); market anomalies; VR ratio; size effect
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” on both the degree of market efficiency and the frequency of market anomalies . 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.
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
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 -