Study Guide to the Efficient Market Hypothesis
This guide systematically reviews the core theoretical framework, empirical testing pathways, and critical extension directions of the efficient market hypothesis, constructing a comprehensive knowledge system from the foundational to the applied levels.
Theoretical Framework and Core Assumptions
Market Efficiency: Definition and Core Assumptions
- Definition of the Efficient Market Hypothesis: Market prices fully reflect all available information in a theoretical framework.
- Core Assumptions: Rational Market Participants with Perfect Information and No Transaction Costs
- Efficiency Tier Classification: Weak-Form Efficient, Semi-Strong-Form Efficient, Strong-Form Efficient
- Theoretical Origins: Challenges from Behavioral Finance, Chicago School's Asset Pricing Theory
Information Transmission and the Relationship between Market Efficiency
- The Mechanism Through Which Information Heterogeneity Affects Market Efficiency
- Correlation Between the Speed of Information Spread and Market Reaction Time Analysis
- Quantitative indicators of market efficiency: information density, price volatility, transaction volume
- Dynamic Game Model of Information Lag and Market Efficiency
Investor Behavior and the Efficient Market Relationship
Empirical verification of investors' rational assumptions
Types of Market Participants and Efficiency Performance
- Institutional investors and individual investors' efficiency difference
- The Dynamic Relationship Between High-Frequency Trading and Market Efficiency
- Algorithmic Trading and the Dual Impact on Market Efficiency
- Nonlinear Relationship Between Market Structure Characteristics and Efficiency Performance
Empirical Testing and Theoretical Boundaries
Empirical Testing Methods of the Efficient Market Hypothesis
- Time Series Analysis: Verification of Stock Price Volatility and Information Lags
- Event Study Method: Testing of Correlation Between Market Response and Information Disclosure
- Cross-market comparison: Empirical comparison of different market efficiencies
- Machine Learning Model: Capturing the Nonlinear Relationship of Market Efficiency