Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods

Chang, Hao-Wen; Chiang, Yi-Chein; Ke, Mei-Chu; Wang, Minghui; Nguyen, Tien-Trung

doi:10.1016/j.iref.2022.08.020

Cited by 8 publications

(9 citation statements)

References 60 publications

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“…This result also revealed that the intrinsic value of the stock is the most impactful variable among others. Chang et al (2023) examined the market efficiency of six Asian stock markets during both financial and non-financial crisis periods, and revealed the harmonious result with this research that the Asian stock markets generally exhibited weak-form efficiency during both the financial crisis and non-financial crisis periods.…”

Section: Summary Discussion Conclusion and Limitationsmentioning

confidence: 58%

Stock Market Efficiency and Factors Influencing Nepalese Investment Decisions

Paneru

2023

OJBM

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This study investigated the efficiency of the Nepal Stock Market, focusing on both weak and semi-strong forms of market efficiency, considering the impact of weekends on stock returns. Additionally, the research examined investor decision-making by utilizing four key variables: earnings announcements, dividend announcements, insider information, and intrinsic stock value. The study encompassed a sample of 86 investors active on the Nepal Stock Exchange (NEPSE) to examine factors influencing investment decisions via questionnaire. Furthermore, a secondary data source comprising 20 NEPSElisted companies were utilized to analyze the weak form efficiency, semi-strong form efficiency, and weekend impact within the banking and financial sectors. This sample encompassed five companies, each from commercial banks, development companies, finance companies, and microfinance. The research methodology included the event study method by utilizing three distinct models: the mean adjusted return model (MAR), the market adjusted model (MKRM), and the risk-adjusted model (RAR) to assess semi-strong form efficiency, non-parametric tests (run and autocorrelation) to assess weak form efficiency, and regression analysis with dummies to analyze weekend impact. In addition, correlation and regression analysis have been utilized to investigate the investment decisions of investors. The findings suggested that the Nepalese stock market is weak form efficient but not semi-strong form efficient, indicating that investors cannot expect abnormal returns. However, exceptions exist: NMBMF (not weak form efficient) and SCB and MNBBL (semi-strong efficient) by using the MAKR and RAR models. Results from primary data have highlighted that only two variables (EV and IV) significantly influence investors' decisions, suggesting intrinsic value and earning announcements impact decisions; conversely, DA and II show no significant impact. In regards to the weekend impact, there is no weekend effect in the Nepalese stock market. These findings hold significance for investors, policymakers, and brokerage firms, offering valuable insights for further research endeavors.How to cite this paper: Paneru, B. P.

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Section: Summary Discussion Conclusion and Limitationsmentioning

confidence: 58%

Stock Market Efficiency and Factors Influencing Nepalese Investment Decisions

Paneru

2023

OJBM

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“…BTMV is typically used to distinguish between value and growth stocks (Graham and Dodd, 1934;Fama and French, 1998;De Vasconcelos and Martins, 2019). Value stocks have a high BTMV, while growth stocks have a low BTMV (Gautam and Holani, 2021;Chang et al 2023). The value and growth stocks and the large and small-cap stocks were the only two categories considered by Fama and French (1993).…”

Section: Methodsmentioning

confidence: 99%

“…Value stocks essentially operate under the assumption that a stock's temporary undervaluation will result in higher returns than a passive investment approach once the market recognises it and corrects the price (Glasgow, 2022). On the other hand, growth stocks are those stocks that analysts believe have the potential, over time, to outperform the market as a whole (Glasgow, 2022;Chang et al 2023). Value investors look for stocks that seem undervalued, while growth investors look for stocks with rapid profit growth.…”

Section: Introductionmentioning

confidence: 99%

Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia

Rohuma

2023

IJEFI

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The main objective of this research is to construct hypothetical value and growth portfolios and compare their performance on Bursa Malaysia over the examination period from 1 January 2006 to 1 January 2020 (168 months). This research also analyses whether there are differences in the performance between value and growth stocks in different sizes of the issuing company. Risk and return characteristics, risk-adjusted return, and the sample paired t-test are examples of statistical tests used in this research. The results emphasised that the average value premium over the examination period was 1%, and hence, the performance of growth and value stocks was broadly similar. When the capitalisation levels of issuing firms are taken into account, the results during the entire examination and the global financial crisis affirmed that the size effect exists only in the value category, while in the growth category, it does not exist. On the other hand, the value effect exists in the large-cap and small-cap categories. Besides, the value effect in small-cap stocks is higher compared to large-cap stocks. Finally, the results also demonstrate that value stocks have a significantly higher mean return than growth stocks at a level of 0.05, despite the firm's size.

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“…The fourth trend in market efficiency research focuses on methodological expansion to estimate market inefficiency. Authors such as Lee (2022), Phiri (2022), and Chang et al (2023) express the need for a measure to estimate the optimal duration of the time interval to detect the level of market efficiency (inefficiency) in periods of financial and non-financial crises. These identified fourth trend of future research are intriguing and require complex and innovative methods.…”

Section: Future Study Agendamentioning

confidence: 99%

Evolución de la producción científica en el Mercado Eficiente: Estudio bibliométrico

Moraes,

Furtini,

Prado

et al. 2024

Contextus

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Contextualização: O texto destaca a importância da Eficiência de Mercado no ambiente dinâmico e complexo do mercado, que tem sido amplamente estudada e analisada. A abordagem desse tema desperta interesse no meio acadêmico e tem sido objeto de diversos estudos. Objetivo: O estudo tem como objetivo mapear a produção científica relacionada ao conceito de Mercado Eficiente, analisando a evolução dos trabalhos acadêmicos e pesquisas sobre o tema ao longo do tempo. Método: A pesquisa adota uma abordagem descritiva com enfoque quantitativo e análise bibliométrica para mensurar os índices de produtividade científica em um tema específico. Foram identificados 478 artigos relevantes nas bases de dados do Web of Science e Scopus no período de 1977 a 2023. Os softwares EndNote e Bibliometrix R foram utilizados para análise, seguida pela elaboração de tabelas e gráficos estatísticos para apresentação nos softwares Biblioshiny e VOSviewer. Resultados: A análise dos dados revelou um aumento constante nas publicações no campo das finanças relacionadas ao tema, com destaque para periódicos específicos. As afiliações dos periódicos se concentraram principalmente nas regiões da América, Europa e Ásia, em áreas como estatística, economia, negócios e gestão. Referências importantes e temas abordados incluíram eficiência de mercado, finanças comportamentais e eficiência do mercado de ações. Eugene Fama foi destacado como o autor mais influente. Quanto às tendências futuras, áreas como análise da eficiência de mercado, gestão de risco e previsibilidade em períodos de conflitos globais foram identificadas, requerendo métodos complexos e inovadores. Conclusões: Esses resultados contribuem para a ampliação do conhecimento e entendimento sobre eficiência de mercado, incentivando a busca por abordagens inovadoras e complexas para avançar ainda mais nesse campo de estudo.

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Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods

Cited by 8 publications

References 60 publications

Stock Market Efficiency and Factors Influencing Nepalese Investment Decisions

Stock Market Efficiency and Factors Influencing Nepalese Investment Decisions

Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia

Evolución de la producción científica en el Mercado Eficiente: Estudio bibliométrico

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