Empirical Testing of Strong Form of Market Efficiency‪.‬

Introduction The Efficient Market Hypothesis (EMH) evolved in the 1960s from the Ph.D. dissertation of Eugene Fama (1965). He persuasively argued that in an active market, including many well-informed and intelligent investors, securities will be correctly priced and reflect all available information. If a market is efficient, no information or analysis can be expected to result in out performance of an appropriate benchmark. The market is efficient if the reaction of market prices to new information is instantaneous and unbiased. Efficient market hypothesis is the idea that information is quickly and efficiently incorporated into asset prices at any point of time and cannot be used to foretell future price movements. Consequently, three versions of EMH are based on the level of available information. These versions are referred as weak form EMH, semi strong form EMH and strong form EMH.