Arbeitspapier

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their existence implies that in fact traders might not be able to make abnormal profits. This paper examines whether or not anomalies such as intraday or time of the day effects give rise to exploitable profit opportunities by replicating the actions of traders. Specifically, the analysis is based on a trading robot which simulates their behaviour, and incorporates variable transaction costs (spreads). The results suggest that trading strategies aimed at exploiting daily patterns do not generate extra profits. Further, there are no significant differences between sub-periods (2005-2006 – “normal”; 2007-2009 – “crisis”; 2010-2011 – “post-crisis).

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 4752

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Computational Techniques; Simulation Modeling
Thema
efficient market hypothesis
intraday patterns
time of the day anomaly
trading strategy

Ereignis
Geistige Schöpfung
(wer)
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Plastun, Alex
Makarenko, Inna
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2014

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Caporale, Guglielmo Maria
  • Gil-Alana, Luis A.
  • Plastun, Alex
  • Makarenko, Inna
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2014

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