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The conditional volatility of the changes are significantly reduced by bigger absolute values of reported earnings before the news announcement and increased afterwards, supporting the rejection of semi-strong-form efficiency. (JEL G10, G12, G14)
Many studies on the semi-strong-form efficiency of stock market are focused on the analysis of the information content of annual earnings and dividend announcements.
In testing the features of the semi-strong-form efficiency in the Chinese stock markets in terms of the return of annual earnings announcement, an M-EGARCH model has been applied.