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Economics Research International
Volume 2013 (2013), Article ID 238253, 11 pages
Research Article

Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

1Department of Business Administration, College of Business, Pacific University, Forest Grove, OR 97116, USA
2Department of Finance, Alfred Lerner College of Business & Economics, University of Delaware, Newark, DE 19716, USA
3Department of Economics, Alfred Lerner College of Business & Economics, University of Delaware, Newark, DE 19716, USA

Received 5 July 2013; Revised 3 September 2013; Accepted 12 September 2013

Academic Editor: Thanasis Stengos

Copyright © 2013 Huijian Dong et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect.