Concepedia

Market Efficiency Testing

Market Efficiency Testing is a methodological framework within high-frequency data analysis that assesses the degree to which asset prices fully and instantaneously reflect all available information, thereby distinguishing it from other financial testing approaches by its focus on informational efficiency in real-time market dynamics.

1.1K

Publications

80K

Citations

1.9K

Authors

1K

Institutions

Publications per year

2017–2026

225

Parents

Publications

1.1K

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Richard Roll · The Journal of Finance · 1984 · 2.8K citations

, , +13

Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1

Eugene F. Fama · Journal of Financial Economics · 1998 · 2.5K citations

, , +15

The Efficient Market Hypothesis and Its Critics

Burton G. Malkiel · The Journal of Economic Perspectives · 2003 · 2.1K citations · Full text

, , +7

Fads, Martingales, and Market Efficiency

Bruce N. Lehmann · The Quarterly Journal of Economics · 1990 · 1.6K citations

, , +11

Some anomalous evidence regarding market efficiency

Michael C. Jensen · Journal of Financial Economics · 1978 · 1.4K citations

, , +14

1–5 of 1.1K

Authors

1.9K

  1. KL
    Kian‐Ping Lim

    Universiti of Malaysia Sabah, Malaysia

    11 publications · 1.1K citations

    11

    h-index

  2. AE
    Alexandros E. Milionis

    University of the Aegean, Greece

    10 publications · 218 citations

    10

    h-index

  3. RA
    Robert A. Jarrow

    Cornell University, United States

    9 publications · 483 citations

    9

    h-index

  4. BM
    Benjamin Miranda Tabak

    Central Bank of Brazil, Brazil

    8 publications · 459 citations

    8

    h-index

  5. AC
    Andrew C. Worthington

    Griffith University, Australia

    7 publications · 351 citations

    7

    h-index

1–5 of 1.9K

Institutions

1K

  1. Monash University

    Melbourne, Australia

    20 h-index

    32 publications

    2.9K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    17 h-index

    26 publications

    4.5K citations

  3. Cornell University

    Ithaca, United States

    13 h-index

    17 publications

    3.1K citations

  4. Universiti of Malaysia Sabah

    Kota Kinabalu, Malaysia

    10 h-index

    14 publications

    864 citations

  5. University of Southampton

    Southampton, United Kingdom

    9 h-index

    12 publications

    577 citations

  6. Texas A&M University

    College Station, United States

    8 h-index

    11 publications

    698 citations

  7. University of Rochester

    Rochester, United States

    7 h-index

    8 publications

    4.2K citations

  8. Montpellier Business School

    Montpellier, France

    7 h-index

    8 publications

    502 citations

1–8 of 1K

Venues

  1. The Journal of Finance

    55 publications · 8.9K citations

    34

    h-index

  2. SSRN Electronic Journal

    Repository · 92 publications · 3.7K citations

    32

    h-index

  3. 28

    h-index

  4. Applied Financial Economics

    29 publications · 1K citations

    21

    h-index

  5. Applied Economics

    28 publications · 1.2K citations

    21

    h-index

1–5