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

Table 2

The impact of time on the historical influence of global financial markets.

Series of causality	Equation (5) regression			Equation (6) regression
	Intercept	Slope	𝑅^2	Intercept	Slope	𝑅^2
INDEX to INDEXC	0.2640	−0.0003	0.2820	0.2443	−0.0022	0.2077
INDEX to INDEXO	0.3461	−0.0057	0.3266	0.2908	−0.0032	0.5140
INDEX to INDEXH	0.3207	−0.0048	0.3522	0.2787	−0.0030	0.4337
INDEX to INDEXL	0.3234	−0.0058	0.4289	0.2834	−0.0041	0.4673
INDEX to INDEXV	0.4628	−0.0013	0.1653	0.4449	−0.0004	0.1028

The results are the OLS outputs of (5) and (6). The regression lines examine the attenuation of impact of the historical information. INDEX variable implies the world financial market. INDEXC/O/H/L/V refers to the close, open, high, low, and trading volume levels of the global markets. The statistical significance level of Granger causality test is 𝑃<0.05.