Microstructures, financial reforms and informational efficiency in an emerging market

Arjoon, Vaalmikki

doi:10.1016/j.ribaf.2015.09.016

Cited by 16 publications

(15 citation statements)

References 55 publications

(46 reference statements)

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“…The prices tend to absorb more information in pre-crisis period, while crisis negatively affect the informational efficiency. A key reason for the deterring efficiency in crisis period can be the high volatility (Arjoon, 2016 and Hassan et al , 2022). The deviation in informational efficiency of CS across different stock also increased significantly at the outbreak of the crisis.…”

Section: Discussionmentioning

confidence: 99%

“…The EMH has been tested in different markets setting and there is considerable evidence against the market efficiency, specifically against the strong and semi strong form of efficiency (Worthington and Higgs, 2006; Hoque et al , 2007). A key reason for the relatively lower efficiency is the high volatility in stock returns (Arjoon, 2016; Hassan et al , 2022). High volatility (mostly associated with crisis periods) negatively affects the informational efficiency while relatively stable markets (lower volatility) facilitate information flow and result in improved efficiency, at least in its weak form (Liu et al , 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

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Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Raza

Said²,

Elshahat³

2022

IMEFM

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Purpose This study aims to provide a comparative insight into the level of informational efficiency and irregularities of Shariah-compliant stocks and conventional stocks in three emerging markets, namely, China, Malaysia and Pakistan. The empirical evidence is provided for pre-crisis and crisis periods caused by the Covid-19 pandemic. Design/methodology/approach Informational efficiency is measured using the variance ratio (VR) Test developed by Kim (2006). The Approximate Entropy (ApEn) Metrics is used to investigate the level of irregularities in stock prices caused by the pandemic. Findings All the three emerging markets in the sample are not immune to the crisis caused by Covid-19 pandemic. The level of informational efficiency of both the Shariah-compliant and conventional stock is affected by the crisis. However, the former exhibits relatively high level of informational efficiency and stability in returns as compared to more volatility of conventional stocks. Practical implications This study provides market agents and policy makers with a robust assessment of the impact of the Covid-19 pandemic on informational efficiency of Shariah-compliant and conventional stocks. Relatively high informational efficiency of Shariah-compliant stocks indicates that they are more transparent and that investors can trust the Shariah-compliant stocks more. This higher level of transparency and trust leads to more steady returns and lower levels of risk even during turbulent time like Covid-19. Investors can gain superior returns by conducting fundamental analysis and investing in index funds. Originality/value To the best of the authors’ knowledge, this is the first study that highlights the difference in informational efficiency of conventional stocks and Shariah-compliant stocks in the crisis period caused by Covid-19. Unlike previous studies, this study uses firm level data which enables firm-wise assessment of informational efficiency.

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Section: Discussionmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Raza

Said²,

Elshahat³

2022

IMEFM

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“…While there are a number of studies in this domain in the developed markets (e.g. the USA), the emerging order-driven markets are less explored (Anagnostidis et al, 2016;Arjoon, 2016;Bai and Qin, 2015;Bekaert et al, 2007;Griffin et al, 2010;Kim and Shamsuddin, 2008;Lesmond, 2005;Rejeb and Boughrara, 2013;Syamala et al, 2014). The exploration of emerging markets in the context of price discovery and transparency, using high-frequency data, may significantly contribute to the existing state of knowledge in this domain.…”

Section: Price Discovery and Transparencymentioning

confidence: 99%

“…Consequently, the short-horizon price movements and order flows have generated new interest among policymakers, academics and investors. However, emerging market studies on LOBs are lacking owing to non-availability of good high-frequency data (Anagnostidis et al, 2016;Arjoon, 2016;Bai and Qin, 2015;Bekaert et al, 2007;Griffin et al, 2010;Kim and Shamsuddin, 2008;Lesmond, 2005;Rejeb and Boughrara, 2013;Syamala et al, 2014) [29]. This is an interesting and unexplored area for future research in emerging markets, as the tick-by-tick data have become available only recently (past 5-10 years).…”

Section: Insights Research Gaps and Scope For Future Researchmentioning

confidence: 99%

Limit order books: a systematic review of literature

Tripathi

Vipul

Dixit

2020

QRFM

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Purpose This study aims to provide a systematic literature review of the research study in the area of limit order book (LOB) mechanism of trading and its implications for market efficiency. The study attempts to document the recent theoretical developments and empirical findings from the literature exhaustively and identifies the research gaps for future research. Design/methodology/approach The study uses seven reputable databases to select 2,514 research studies spanning over 1981-2018 (finally compressed to a pool of 103 articles, based on relevance and impact). The study uses bibliometric network visualization and text analytics to categorize and examine the literature. The chosen articles are compiled and analyzed to provide a comprehensive account of the current research on LOBs. Findings The recent LOB literature is summarized on various criteria as follows: sub-areas, the types of economies and markets, methodologies and the LOB measures. The review identifies a dearth of studies on the LOBs in emerging markets. It suggests the potential research areas as intraday studies in emerging LOB markets; application of market indicators based on deeper levels of LOB, beyond the best prices; market fragmentation, order routing decision and its impact on order execution quality; optimal display of LOB levels; liquidity dynamics in quote-driven markets vis-à-vis LOB markets; effect of high-frequency trading on market microstructure; application of advanced techniques (e.g. machine learning models, zero-intelligent models); relationship between the trading speed, order aggressiveness, shape and resilience of the order book and informed trading; and information content of the auxiliary order submission strategies, including cancellation, amendments and hidden orders. Originality/value For the past 15 years, to the best of the knowledge, a comprehensive review of the literature on LOBs has not been published. The financial markets have transformed significantly over this period, driven by the adoption of LOBs, low latency trading and technological advancements in information dissemination. This article provides an extensive collection and classification of the literature on LOBs. This would be useful for the practitioners, future researchers and academics in the area of financial markets.

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“…Kako predstavlja sastavni deo političkog i privrednog sistema, finansijski sistem kao takav poprima njihove osnovne karakteristike. (Arjoon, 2016;Jaeger et al 2016) Odmosmo postoje određeni procesi i stanja koji vrše uticaj na njega, a to su: politički odnosi, stepen demokratizacije društva, karakter vlasništva, stepen privrednog i ukupnog društvenog razvoja i niz drugih faktora. Razvijeni finansijski sistemi sa druge strane stvaraju zdrave osnove za brži rast i razvoj.…”

Section: Finansijski Sistem U Okviru Sistema Tržišne Privredeunclassified

The role of financial markets in a contemporary environment

Stanković¹,

Kalač²,

Rosić³

2018

Oditor

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ApstraktCilj rada je da se u sistemu savremene tržišne privrede nađe mesto finansijskih tržišta, samim tim i njen značaj koji ima pre svega u privlačenju novog kapitala. Kapital kao nešto što pokreće svet može biti pre svega značajan upravo u tom svetlu. Bez njega nema napretka. Značajan je kako na makro tako i na mikro nivou. Ovim radom se približaju tokove kapitala i daju odgovori na pitanja koja su oduvek bila aktuelna, a reklo bi se naročito u vremenu današnjice. Šta je to što privlači nove količine kapitala u nacionalne tržišne privrede, šta ulagače brine, njihove vrste i područje delovanja, pojam i nastanak berze kao specifičnog oblika finansijskih tržišta itd.Ključne reči: finansijska tržišta, kapital, privreda. JEL: G23, M21.Uvod U ovom radu analiziraće se značaj finansijskih tržišta bilo da govori o razvijenim ili nerazvijenim zemljama, da se uoči kako oni utiču na smanjenje troškova, bržu alokaciju kapitala, sigurnost prilikom poslovanja. Kada se sagleda njihov značaj mogu se jasno uočiti faktori koji izazivaju turbulencije na njima.Poseban akcenat je stavljen na možda i najdinamičniji deo finansijskih tržišta, berzu. U poslednje vreme trend u svetu je da se manje berze spajaju kako bi nastale nove i veće i brže privukle veće količine kapitala. Samo berzansko poslovanje zna po sebi da bude dosta privlačno potencijalnim investitorima iz razloga uvećanja uloženog kapitala. Međutim i pre nego što se sagledaj kako funkcioniše berza, koji su berzanski učesnici, pojmovi brokera i dilera, koja je njihova uloga značajno je podsteiti se nastanka i razvoja berzi kao prvobitnog mesta okupljanja do onoga šta one danas predstavljaju kada se govori o 1 Rifat Stanković, Univerzitet za poslovne studije, SummaryThe aim of the paper is to find a place in the financial markets in the system of the modern market economy, and therefore its importance, which is primarily to attract new capital. Capital as something that drives the world can be especially important precisely in that light. Without him, there is no progress. It is important both at macro and micro level. This paper approaches capital flows and gives answers to questions that have always been current, and it would be said especially in the time of today. What attracts new amounts of capital in national market economies, what investors care about, their type and scope, the concept and the emergence of the stock market as a specific form of financial markets, etc.

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Microstructures, financial reforms and informational efficiency in an emerging market

Cited by 16 publications

References 55 publications

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Limit order books: a systematic review of literature

The role of financial markets in a contemporary environment

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