Literature Review Of EMH As A Fair Game Model

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Literature Review
Historically, the theory of EMH has been developed by Fama in 1965 stated that EMH is a fair game model which shows that the confident of investors regarding to the available information of a security is fully reflected in the current market price as well as the expected yields are based on the price which is consistent with the risk. Fama categorized the hypothesis empirical tests into three category with the given information sets, which is strong form, semi form and weak form. Random walk model is a model, assuming subsequent price changes are sovereign and uniformly distributed random variables, and future price changes cannot be predicted by historical price changes and movements. It is used to prove the weak form EMH.
However, Hamid et al do not agree.
Critics against EMH
According to Hamid et al, (2010), EMH
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Random walk hypothesis of the Asian stock markets (Malaysia and Korea) strongly rejected examined by Huang (1995). Gordon and Rittenberg (1995) examines weak form efficiency do not apply on Warsaw Stock Exchange as prices are not fully reflect the information. There is some evidence suggested by Gilmore and McManus (2003), random walk hypothesis is rejected by his finding in this study from 1995 to 2000. Moreover, Vosvorda et al. (1998) analyse the Prague Stock Exchange and the weak form market efficiency rejected by this study for 1995 to 1997. Dahel and Laabas (1999) studied the market efficiency of Saudi Arabia, Bahrain and Oman markets reject the weak form of the EMH. It has been reported that. Hasan et al. (2007) shows the evidence on Karachi Stock Exchange in Pakinstan walk as the behaviour of price do not supporting random thus are not weak form efficient. In the view of Dima and Milos (2009), the long term financial instability experienced within the Romanian economy, the market’s information is limited to a weak form
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