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Market Efficiency and Stock Prices Volatility 株式市場の効率性と株価変動 Jose Miguel Duarte Leite Pinto Dos Santos open access Copyright(c) by Author 330 ACKNOWLEDGEMENTS CHAPTER1 INTRODUCTION / p1 PART I THEORY / p5 　CHAPTER2 STOCK MARKETS AND THE EFFICIENT MARKETS HYPOTHESIS / p6 　　1.Definition of market / p6 　　2.The role of stock markets / p8 　　3.The development of stock markets / p12 　　4.Evolution of the concept of efficient markets / p17 　　5.Characterization of efficiency / p23 　CHAPTER3 THEORY OF FUNDAMENTALS AND BUBBLES / p29 　　1.Introduction / p29 　　2.Assumptions of a stock market model / p30 　　3.The arbitrage equation / p31 　　4.Fundamentals / p33 　　5.Fundamentals,efficient markets and stock prices'movements / p35 　　6.Bubbles / p44 PART II EVIDENCE / p51 　CHAPTER4 EMPIRICAL TESTS OF THE EFFICIENT MARKETS HYPOTHESIS / p52 　　1.Introduction / p52 　　2.Definition of random walks,martingales and fair games / p53 　　3.The fundamental model and martingales / p55 　　4.Statistical tests of weak form efficiency / p58 　　5.Weak form efficiency anomalies / p60 　　6.Variance Bounds Tests / p63 　　7.Orthogonality Tests / p67 　CHAPTER5 TESTING FOR FUNDAMENTALS AND BUBBLES IN JAPANESE STOCK PRICES / p69 　　1.Introduction / p69 　　2.The data used / p71 　　3.Weak form efficiency tests / p72 　　4.Volatility in stock prices / p74 　　5.Tests for fundaments / p76 　　6.More tests for fundamentals: stock prices and profits / p81 　　7.Tests for bubbles / p89 　CHAPTER6 BOUNDED TIME HORIZONS AND EFFICIENT MARKETS / p93 　　1.Introduction / p93 　　2.Changes in the economic structure / p95 　　3.Dividends' basic structural model / p97 　　4.Fundamental stock prices and the boundeness of the span of time horizons / p98 　　5.Empirical results / p104 TABLES / p111 FIGURES / p118 NOTES / p145 BIBLIOGRAPHY / p157 eng doctoral thesis NA https://doi.org/10.11501/3105822 https://hiroshima.repo.nii.ac.jp/records/2005994 10.11501/3105822 1 1 甲第1321号 博士(経済学) Economics 1995-03-24 広島大学 Hiroshima University https://hiroshima.repo.nii.ac.jp/record/2005994/files/diss_ko1321.pdf 116.0 MB