Market efficiency in developed and emerging markets

Sharma, Ankit; Thaker, Keyur B.

doi:10.1504/aajfa.2015.073470

Cited by 9 publications

(7 citation statements)

References 49 publications

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“…The development of new markets. Sharma and Thaker (2015) studied developed markets that showed inefficiency in terms of monthly returns, which is contrary to the conventional perception that developed markets are efficient in comparison to emerging markets owing to their long existence, better maturity, depth, and technological development. Neo-industrialization is an objective process of the formation of a new model of industry based on high-technology structures (Biryukov & Romanenko, 2017).…”

Section: Methodsmentioning

confidence: 92%

The global economy in technological transformation conditions: A review of modern trends

Matyushok

Krasavina

Berezin

et al. 2021

Economic Research-Ekonomska Istraživanja

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Section: Methodsmentioning

confidence: 92%

The global economy in technological transformation conditions: A review of modern trends

Matyushok

Krasavina

Berezin

et al. 2021

Economic Research-Ekonomska Istraživanja

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“…Hal ini terjadi karena kekacauan yang terjadi pada situasi krisis membuat informasi dan rumor meningkat setiap harinya membuat para investor abai informasi sehingga investor cenderung menggunakan motif psikologi (behavioral finance) dalam pengambilan keputusan investasiya. Selanjutnya, untuk kedua pasar modal lainnya yaitu pasar modal Malaysia dan Korea Selatan memiliki mix results yang didukung oleh studi sebelumnya khususnya (Hamid, Suleman, Ali Shah, & Imdad Akash, 2017) dan (Sharma & Thaker, 2015). Mix results kerap terjadi pada penelitian efisiensi pasar dengan beberapa objek penelitian dan penggunaan beberapa periode waktu karena masingmasing memiliki data harga yang berbeda.…”

Section: Uji Autokorelasi (Ljung Box Test)unclassified

Efisiensi Pasar Bentuk Lemah Pada Pasar Modal Indonesia, Malaysia dan Korea Selatan Periode Krisis Ekonomi Global 2008

Utami

2018

JIBM

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This research empirically investigates the impact of the global economic crisis in 2008 on the efficiency of three Asian stock markets, namely the Indonesia Stock Exchange (IDX), the Malaysia Stock Exchange (MYX), and the Korea Stock Exchange (KRX) as an emerging market. Weak market form efficiency will be tested on this research. Using the daily closing price data of the composite index for 11 years which is divided into three periods,

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“…The trading decisions of investors based on the consensus of the market are at the center of this herding behavior. When compared to investors in emerging capital markets, investors in developed capital markets are likely to have access to a greater amount of information regarding stock trading in capital markets; as a result, investors in developed capital markets are more likely to engage in herding behavior [5]. This herding behavior is connected to several investment risks that are encountered by investors in developing nations.…”

Section: Introductionmentioning

confidence: 99%

“…This herding behavior is connected to several investment risks that are encountered by investors in developing nations. These risks include political instability, economic instability or financial crises, and volatility in foreign currency [5]. According to [6].…”

Section: Introductionmentioning

confidence: 99%

“…This imitation is carried out to calm their nerves and bring their preferences more in line with those of other investors [8]. Some studies mention that several crises caused herding behavior such as: (1) Crisis of financial global, (2) investor sentiment [9][10][11][12], (3) the presence of market sentiment [13] , (4) the role of financial analysts [14], (5) the role of forecasters [15][16][17], (6) the role of foreign investors [15], (Chen et al 2012), (7) the role of institutional investors [18], (8) cascade information [19], (9) the existence of an infectious disease pandemic [20][21][22]3,23], (10) government-released macro and micro news [21,22], (Hwang & Salmon, 2004c); [22], (11) trading volume (Hanafi & Abaoub, 2016; Hsieh et al 2011; Vo & Phan, 2017), (12) fear (Huang & Wang, 2017b) and (13) ). The market attitude of investors during the Covid-19 outbreak contributes to this herding behavior.…”

Section: Introductionmentioning

confidence: 99%

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The Impact of Cultural Shocks on Investor Sentiment and Herding Behavior: An Evidence during COVID-19 Pandemic

Marietza

Ridwan

Santi

et al. 2023

AJEBA

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Aims: This study investigates herding under covid 19 pandemic. Also, this research aims to measure the effect of investors' sentiment toward herding behavior moderated by culture shock in the emerging market stock exchange. Study Design: This study uses a sample of stock that constitutes the liquid index in the emerging market. Place and Duration of Study: The samples of this study are 26 countries incorporated in emerging stock markets. The observation is 10.192. The duration of the research is from December 2019 to June 2021. Methodology: This Research uses the model of Chang et al. (2000) to estimate herding behavior as the dependent variable. The independent variable is investor sentiment measured by the VIX and VXEEM indices. Culture shock is assumed as a moderating variable measured by dummy variables. The variables of cultural shock are divided into three phases: the honeymoon phase at the beginning of the covid virus spreading, the lockdown phase, and the new normal phase. The data for culture shock is taken from WHO data. The research will be analyzed with Moderated Regression Analysis with EViews. Results: The results of this study consist of the following: First, investors in capital markets in developing countries are proven to have anti-herding behavior in making investment decisions during the Covid-19 pandemic. Second, investor sentiment has influenced herding behavior during the Covid-19 pandemic. Lastly, the covid-19 pandemic condition has strengthened investor sentiment to carry out herding behavior, especially in the honeymoon phase or at the beginning of the pandemic. The novelty in this study is introducing the concept of cultural psychology, namely cultural shock as a variable believed to strengthen investor sentiment towards the capital market and cause herding behavior. Conclusion: The results of this study provide helpful information for developing research in the financial and investor behavior in understanding investor behavior during the Covid-19 pandemic. Investor sentiment toward the possibility of a decline in capital market performance gives rise to irrational behavior (herding). In addition, cultural shocks to new habits during the pandemic can also strengthen investor sentiment and cause herding behavior. It should use a more comprehensive research sample from developed capital markets for further research.

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Market efficiency in developed and emerging markets

Cited by 9 publications

References 49 publications

The global economy in technological transformation conditions: A review of modern trends

The global economy in technological transformation conditions: A review of modern trends

Efisiensi Pasar Bentuk Lemah Pada Pasar Modal Indonesia, Malaysia dan Korea Selatan Periode Krisis Ekonomi Global 2008

The Impact of Cultural Shocks on Investor Sentiment and Herding Behavior: An Evidence during COVID-19 Pandemic

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