Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

The Study of the “Size Effect” on the Market Efficiency and the Market Anomalies in NASDAQ

Authors
Siling Pan1, *, Congrui Yin2, Yu Ai3, Zhiheng Li4
1Hangzhou commerce school, Zhejiang Gongshang University, Hangzhou, Zhejiang, 310000, China,katherine2899@qq.com
2Chongqing Gongshang University, Chongqing, 400067, China,cyin47@uwo.ca
3Chongqing Gongshang University, Chongqing, 400067, China,1140810883@qq.com
4Auburn University, Auburn, Alabama, 36849, USA,1440419945@qq.com
Corresponding Author
Siling Pan
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.516How to use a DOI?
Keywords
Efficient Market Hypothesis (EMH); market anomalies; VR ratio; size effect
Abstract

Since the Efficient Market Hypothesis was proposed by Eugene Fama in 1970, it has been continuously challenged by various market anomalies and financial empirical evidence in the U.S. stock market. Inspired by the reserve effect, the momentum effect and the effect size discovered by De Bondt and Thaler, Jegadeesh and Titmanand Banz respectively, this paper reasonably speculates that there is also a “size effect”[1] on both the degree of market efficiency and the frequency of market anomalies [2]. Taking the NASDAQ stock exchange as the research object, this paper uses the VR ratio method proposed by Lo and MacKinlay to test the efficiency of the Nasdaq market, and then uses event analysis and Debondt and Thaler methods to separate the abnormal frequency of the Nasdaq market and test whether there is “scale effect”. This paper concludes that there is a “size effect” in the degree of market efficiency and the frequency of market anomalies in NASDAQ. Finally, this paper proposes an investment strategy based on the findings.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.516How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Siling Pan
AU  - Congrui Yin
AU  - Yu Ai
AU  - Zhiheng Li
PY  - 2021
DA  - 2021/12/15
TI  - The Study of the “Size Effect” on the Market Efficiency and the Market Anomalies in NASDAQ
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 3151
EP  - 3160
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.516
DO  - 10.2991/assehr.k.211209.516
ID  - Pan2021
ER  -