Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

Figure 1

The historical impact attenuation from world major indexes to the closed, open, high, low, and volume levels of world markets in a 30-day window. The INDEX variable implies the world financial market. The horizontal axis is the dates in the test window. date = 0 is the current period; date =−1⋯−30 are the lagged operating days. If date = 0 refers to August 1, then Date =−2 refers to July 30. The vertical axis refers to the average proportion of existing causality relations at 𝑃<0.05 significance level.