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bond market เป็น EMH ขนาดไหน
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June 16, 2010
9:34 pm

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April 26, 2010
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June 23, 2010
5:34 pm
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August 18, 2009
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ก่อนอื่นขออธิบายนิยามของ EMH ก่อนนะครับ


n finance, the efficient-market hypothesis (EMH) asserts that financial markets are "informationally efficient". That is, one cannot consistently achieve returns in excess of average market returns on a risk-adjusted basis, given the information publicly available at the time the investment is made.
There are three major versions of the hypothesis: "weak", "semi-strong", and "strong". Weak EMH claims that prices on traded assets (e.g., stocks, bonds, or property) already reflect all past publicly available information.
Semi-strong EMH claims both that prices reflect all publicly available
information and that prices instantly change to reflect new public
information. Strong EMH additionally claims that prices instantly
reflect even hidden or "insider" information. There is evidence for and
against the weak and semi-strong EMHs, while there is powerful evidence
against strong EMH.

The validity of the hypothesis has been questioned by critics who blame the belief in rational markets for much of the financial crisis of 2007–2010[1][2][3].
Defenders of the EMH caution that conflating market stability with the
EMH is unwarranted; when publicly available information is unstable,
the market can be just as unstable[

June 23, 2010
5:36 pm
Forum Posts: 678
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August 18, 2009
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ผมมองตลาด Bond ไทยค่อนข้างเป็น Semi Strong EMH ครับ เนื่องจากนักลงทุนส่วนใหญ่เป็นนักลงทุนสถาบัน และเข้าถึงข้อมูลได้มาก รวมถึงสามารถปรับการลงทุนให้สอดคล้องกับทิศทางดอกเบี้ยได้อย่างยือหยุ่นครับ


แต่ในแง่นักลงทุนรายย่อย ผมมองว่ายังไม่ค่อยรู้จักกับการลงทุนในตราสารหนี้มากเท่าไรนักครับ

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