Testing the Information Efficiency in Emerging Markets

Aktan, Ceyda; Şahin, Eyyüp Ensari; Küçükkaplan, İlhan

doi:10.5772/intechopen.70369

Cited by 7 publications

(9 citation statements)

References 57 publications

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“…However, the level of stock market efficiency also plays a critical role in adjusting stock prices to reflect the new information. Empirical studies have established that stock markets in emerging economies exhibit weak-form information efficiency (Aktan et al ., 2018; Phan and Zhou, 2014; Mobarek et al. , 2008; Magnusson and Wydick, 2002).…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

Pandemics and stock markets reactions: a panel analysis of emerging markets

Yiadom

Abdul-Mumuni

2022

AJEMS

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PurposePandemics and infectious diseases are almost becoming part of everyday human lives. In this study, the authors model the historical impact of pandemics on the various aspect of the stock market performance.Design/methodology/approachThe Arellano and Bond (1991) GMM is used in estimating the empirical model to help solve possible endogeneity, heteroscedasticity and serial correlation problems in static panel data problems. Particularly, the system GMM is used to control for both the levels and the first difference equations.FindingsThe findings indicate that pandemics reduce the stock market turnover and the value of stock traded. But the stock market capitalization and the number of stock listings will not be affected within the pandemic period. Also, the authors report that the actual impact of the pandemic in terms of the number of people who die from the disease will badly influence all the four indicators of the stock market performances.Research limitations/implicationsThis study opens up the frontiers to the use of panel modeling in this area of study which will influence future studies. Additionally, the authors have showcased that the number of deaths from communicable diseases (pandemics) disrupts all four measures of stock markets performance indicators; this finding will guide policymakers to develop a robust approach to fighting pandemics when they occur.Originality/valueThe study is unique in two ways. Unlike recent studies that focus on only the impact of Covid-19 on stock market performance, the authors build a 20-year panel of 41 emerging economies to capture the long-run dynamics. Again, the authors’ variables can capture the immediate and cumulative response of stock market performance to pandemics.

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Section: Empirical Results and Discussionmentioning

confidence: 99%

Pandemics and stock markets reactions: a panel analysis of emerging markets

Yiadom

Abdul-Mumuni

2022

AJEMS

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“…The most rigorous form of market efficiency is the strong form, which states that securities' prices reflect all past price information, all publicly available information and also all private (often called insider) information. If a market is efficient in strong form, there is no possibility for abnormal returns for investors and we can see that under the strong form, we satisfy also the semi-strong and weak form of market efficiency (Aktan et al, 2017). Efficient markets are very important in the financial world, as no matter how much resources one deploys into security analysis, no excess return can be made (given the assumption of strong form efficiency).…”

Section: Market Efficiencymentioning

confidence: 88%

“…With the autocorrelation test, we determine whether returns are influenced by their own lagged values over time. Insignificant autocorrelation for all selected lags indicates efficient markets (Aktan et al 2017).…”

Section: Methodology To Test Market Efficiencymentioning

confidence: 99%

Socratic Lectures 8

2023

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To date, several cardiotropic viruses have been implicated as causes of myocarditis. The most detected are parvovirus B19, and human herpes virus 6. Severe Acute Respiratory Syndrome Coronavirus 2 (SARS-CoV-2) are the respiratory viruses that have recently triggered the unprecedented pandemic process. The involvement and impact of these viruses in viral cardiovascular disease are under study. Despite extensive research into the pathological mechanisms of viral infections of the cardiovascular system, our knowledge regarding their treatment and management is still incomplete. A condition caused by post-Co rona Virus Disease (COVID-19) myocarditis seems to have distinct inflammatory characteristics. Many kinds of arrhythmias may occur in patients with post-COVID-19 myocarditis and result in arrhythmogenic cardio-myopathy and sudden cardiac death. Sometimes arrhythmia can be the first and only symptom of myocarditis. However, compared to the other clinical presentations, arrhythmic myocarditis has been poorly described in the literature. The increased risk of arrhythmias in patients with a post-COVID-19 period is most likely a consequence of systemic inflammation and diseases, not just a direct consequence of the viral infection. A decrease in heart rate variability can contribute to electrical instability of the myocardium and the occurrence of arrhythmias. Cardiac magnetic resonance imaging and endomyocardial biopsy are the most useful tests for myocarditis. However, different from the other clinical presentations, arrhythmic myocarditis requires specific diagnostic, prognostic, and therapeutic considerations. This review aims to critically summarize the state of the art on myocarditis presenting with arrhythmias in terms of epidemiology, aetiology, diagnosis, prognosis, and treatment.

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“…However, conventional models fail to explain fat tails, long-term correlation, volatility clustering, and multifractality in financial markets. Recent developments on information efficiency in emerging markets can be found in [61], while prior literature on efficiency of emerging markets can be found in [44,62].…”

Section: Literature Reviewmentioning

confidence: 99%

Investigating Long-Range Dependence of Emerging Asian Stock Markets Using Multifractal Detrended Fluctuation Analysis

2020

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The use of multifractal approaches has been growing because of the capacity of these tools to analyze complex properties and possible nonlinear structures such as those in financial time series. This paper analyzes the presence of long-range dependence and multifractal parameters in the stock indices of nine MSCI emerging Asian economies. Multifractal Detrended Fluctuation Analysis (MFDFA) is used, with prior application of the Seasonal and Trend Decomposition using the Loess (STL) method for more reliable results, as STL separates different components of the time series and removes seasonal oscillations. We find a varying degree of multifractality in all the markets considered, implying that they exhibit long-range correlations, which could be related to verification of the fractal market hypothesis. The evidence of multifractality reveals symmetry in the variation trends of the multifractal spectrum parameters of financial time series, which could be useful to develop portfolio management. Based on the degree of multifractality, the Chinese and South Korean markets exhibit the least long-range dependence, followed by Pakistan, Indonesia, and Thailand. On the contrary, the Indian and Malaysian stock markets are found to have the highest level of dependence. This evidence could be related to possible market inefficiencies, implying the possibility of institutional investors using active trading strategies in order to make their portfolios more profitable.

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Testing the Information Efficiency in Emerging Markets

Cited by 7 publications

References 57 publications

Pandemics and stock markets reactions: a panel analysis of emerging markets

Pandemics and stock markets reactions: a panel analysis of emerging markets

Socratic Lectures 8

Investigating Long-Range Dependence of Emerging Asian Stock Markets Using Multifractal Detrended Fluctuation Analysis

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