Go, You-How and Lau, Wee-Yeap (2023) What do we know about informational efficiency? Three puzzles and the new direction forward. Journal of Economic Surveys, 37 (4). pp. 1489-1525. ISSN 0950-0804, DOI https://doi.org/10.1111/joes.12478.
Full text not available from this repository.Abstract
Informational efficiency generally indicates the prevailing market price of assets by focusing on the connection between market participants in reacting to the arrival of new information. However, several authors have suggested that uncorrelated trading strategies across markets are meant for traders who genuinely know the best. Our study aims to survey the most recent literature on informational efficiency. We examine the empirical literature on informational efficiency by discussing the findings from dual perspectives, namely price-volume and spot-futures relations. More research needs to be directed toward understanding how market efficiency responds to impending uncertainties in the real economy. By combining the findings of 109 studies from different financial markets, we discuss essential lessons from market microstructures and behavioral biases in decision-making. Further, we identify three contentious issues yet to be explored in the literature. This study concludes by discussing a new direction for future research.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | arbitrage pricing theory; efficient market hypothesis; informational efficiency; price-volume relation; spot-futures relation |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Economics & Administration |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 26 May 2025 04:24 |
| Last Modified: | 26 May 2025 04:24 |
| URI: | http://eprints.um.edu.my/id/eprint/51050 |
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