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C/F/802. Dissertation. Validity of the efficient market hypothesis in the USA during the internet bubble

WORDS:
10800
DATE:
2010
PRICE:
109.99 GBP

The aim of the dissertation is to test the validity of the efficient market hypothesis (EMH) in the USA during the dot com bubble that occurred in early 2000’s. While EMH has been proved and rejected for different equity markets in different countries, the study of the US stock market in the period of the dot com crisis revealed that EMH lacked validity since twenty per cent of the companies analysed in this dissertation were not found to have a random walk, which is a necessary condition for validity of EMH and particularly its weak form. The research has been conducted using the autocorrelation analysis and Augmented Dickey-Fuller unit root test. The findings demonstrate partial validity of the EMH in the US market, but acknowledge that further studies are recommended to be undertaken that would employ different frequency of time series and larger sample of stocks.

 

KEYWORDS: Dissertation, Efficient Market Hypothesis, EMH, Stock market, dot com, behavioural finance, USA, America, internet bubble, market efficiency, stocks and shares,

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