EFFICIENCY OF FINANCIAL MARKETS
Abstract: Are financial markets effi cient is a question on which there is still no clear andcomplete answer. Position that prices of securities fully refl ect available information about securitiesis called the efficient market hypothesis (EMH). The EMH (on the example of stocks)has three forms (or levels) of effi ciency: 1) the ‘’ weak’’ form of the EMH- is the claim thatstock prices refl ect all information contained in previous transactions; 2) the ‘’ semi- strong’’form of the EMH- is the claim that stock prices refl ect all publicly available information, and3) the’’ strong’’ form of the EMH- is the claim that stock prices refl ect all relevant information(public and private), including the privileged (the insider) information.Numerous studies have confi rmed the existence of a’’ weak’’ form of the EMH, and generallysupported the existence of a’’ semi-strong’’ form of the EMH, but not of a ‘’ strong’’ form of the EMH. However, the EMH, even if it is a ‘’weak’’ or a ‘’semi-strong’’ form has a number ofweaknesses. Some of the the EMH assumptions confront with the reality – there is no perfect information, transaction and information costs can be signifi cant, markets are often imperfect,and investors do not have complete knowledge about the set of all available financial strategies for a given situation.The information ’’overload’’ confuses people and aff ects their ability to prioritize and makegood decisions. On the other hand, electronic trading method signifi cantly affects the information at the disposal of the diff erent market actors. It seems that the greatest threat to theEMH comes from the fi eld of behavioral fi nance, which is engaged in research on the possibleimpact of psychological factors (loss aversion, anchoring, overconfi dence...) on the behaviorof investors. The basic argument of behavioral fi nance is that ’’standard’’ financial theory isnot paying attention to how ordinary people make decisions and that ‘’ human factor’’ cannot be ignored.Tha aim of this study was to critically examine the EMH. Apperently, the EMH after numerousstudes and identifi ed anomalies, largely remains at the level of (insuffi ciently confirmed) hypothesis, although it is often given the status, or created an illusion, of confirmed. Th is isalso because the EMH is an important component of the rulling ’’paradigm’’ in finance or’’standard fi nance theory’’. Joperdizing the status of the EMH bring into question many otherimportant components of this ’’paradigm’’.Th e EMH has not off ered acceptable answers to some of the specific developments and eventsin the financial market, including the last global financial crisis. But, the EMH still remainsone of the cornerstones of ’’standard’’ finance theory.
Key words: efficency of financial markets, efficient market hypothesis, rationality, information,behavioral finance
EFIKASNOST FINANSIJSKIH TRŽIŠTA
Rezime: Shvatanje po kome cene hartija od vrednosti odražavaju dostupne informacije ohartijama od vrednosti se naziva hipoteza o efi kasnosti tržišta (Efficient Market Hypothesis-EMH). Brojna istraživanja su potvrdila postojanje pojedinih formi EMH i to pretežno kadase radi o finansijskim tržištima razvijenih zemalja. Međutim, pretpostavke EMH dovode dotoga da je finansijska teorija u neskladu sa stvarnošću - informacije su nesavršene, transakcionii informacioni troškovi mogu biti značajni, tržišta su često neprefektna, a investitorinemaju kompletno znanje o setu mogućih raspoloživih finansijskih strategija, za svaku datusituaciju.Teret informacijskog ’’opterećenja’’ dezorjentiše ljude, utiče na njihovu sposobnost da odredeprioritete i donesu dobre odluke. Elektronski način trgovanja i inovacije zasnovane na ovomvidu trgovine značajno utiču na različitu informisanost tržišnih učesnika. Ipak, izgleda danajveća opasnost po EMH dolazi iz oblasti bihevioralnih finansije koje se bave istraživanjimao mogućem uticaju psiholoških faktora na ponašanje investitora. Osnovni argumentbihevioralnih finansija jeste da ’’standardna’’ finansijska teorija ne obraća pažnju na to kako obični ljudi donose odluke i da se ’’ljudski faktor’’ ne može zanemariti.Cilj ovog rada je bio da kritički sagleda EMH. Po svemu sudeći, EMH nakon brojnih istraživanja(ali i takvih dešavanja kao što je poslednja svetska ekonomska i finansijska kriza) iutvrđenih anomalija, dobrim delom ostaje na nivou (nedovoljno potvrđene) hipoteze, mada joj se često pridaje status ili stvara privid dokazanosti. Ovo i iz razloga što je EMH značajnakomponenta vladajuće ’’paradigme’’ u finansijama ili ’’standardne’’ finansijske teorije, te bi sesa ugrožavanjem njenog statusa, ugrozile i mnoge druge važne komponente ove ’’paradigme’’.
Ključne reči: efikasnost finansijskih tržišta, hipoteza o efikasnosti tržišta, racionalnost, informacije,bihevioralne finansije