New Findings on the Efficient Markets Hypothesis

This study tests the validity of the efficient markets hypothesis for the United States, Canada, Australia, and selected European countries. Classical unit root tests, commonly used in the literature, can produce weak and inconsistent results, particularly when returns are not normally distributed. Therefore, the study employed the RALS (Residual Augmented Least Squares) method, which has more robust statistical properties, in addition to classical methods. The findings obtained demonstrate that this modern method, unlike classical unit root tests, provides more reliable evidence of market efficiency and highlights the critical impact of deviations from a normal distribution on the analysis results. The results demonstrate the heterogeneity of the capital markets of the countries studied and emphasize that the choice of method determines inferences regarding the efficient market hypothesis.