Efficiency in the New York Stock Exchange (NYSE) refers to the degree to which prices of stocks and other securities traded on the exchange reflect all available information. In an efficient market, stock prices reflect all public and private information relevant to the underlying companies, such as financial statements, earnings reports, news releases, and other market data. The efficient market hypothesis (EMH) is a theory that suggests that in an efficient market, it is not possible to earn returns greater than the market average consistently over time, as all available information is already reflected in the stock prices.

Empirical evidence on the efficiency of the NYSE is mixed. Some studies have suggested that the market is generally efficient, particularly in the long run, and that prices respond quickly and accurately to new information. However, other studies have suggested that certain types of information, such as insider trading, can be used to generate abnormal returns, suggesting that the market may not be completely efficient.

Efficiency on the NYSE is supported by various factors, including the high volume of trading activity, the availability of real-time market data, and the existence of a regulatory framework designed to promote transparency and fairness in trading. However, market inefficiencies can arise due to a variety of factors, such as irrational investor behavior, information asymmetry, and the influence of large institutional investors. As such, the degree of efficiency at the NYSE is a matter of ongoing debate among economists, finance professionals, and market participants.

I conducted research for my master’s degree. The main goal of this thesis is to consider the weak form of efficiency hypothesis in two regimes of high volatility and low volatility in the New York Stock Exchange. So, for testing the weak form of efficiency hypothesis in New York Stock Exchange, a Markov Switching method was used from 2012 until 2016.
The estimation results of the Markov Switching model indicate that New York Stock Exchange does not have weak form efficiency in two regimes of high and low volatility, and systematic profits can be obtained in this market. Therefore, regarding the importance of the financial market in financing corporations, it is necessary that policymakers apply suitable policies in line with market efficiency to provide investment security in the market as well.