The efficient market hypothesis has been given lots of importance in the financial literature. Eventually, the importance of the efficiency of a market is that prices will fully reflect all available information. This study focuses on the weak-form market efficiency testing for three particular stocks (Bel-Fuse-Inc., Berkshire-Hills Bancorp, Inc.-and Beasley Broadcast-Group,-Inc.) and two decile indices (NYSE/AMEX/NASDAQ index capitalization based-Decile-1-and-10). With the aid of autocorrelation testing, variance ratio tests and calendar effects testing, done under the OLS regression as well as the GARCH family models, two indices, DEC1 and DEC10, and three individual stocks, BBGI, BELFA and BHLB, were tested. Validated under both a daily perspective as well as on a monthly one, the returns of BBGI and DEC10 have consistently proven to follow a random walk while DEC1 and BHLB have shown the contrary. They showcased a day-of-the-week effect as well as a month-of-the-year effect. BELFA provided evidences that it does not follow a random walk when tested using daily data but these effects vanished.
JEL Codes: C1, G14
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