Time-varying return predictability in South Asian equity markets

Impact of COVID-19 on stock market efficiency: Evidence from developed countries

“…The rolling sub-sample window method allows us to see time-varying returns predictability (i.e., market efficiency). This method also mitigates data snooping bias ( Rahman et al, 2017 ) and is robust to possible structural changes in the time series ( Lazăr et al, 2012 ). The length of the sub-sample window that is sufficient to make statistical inferences ( Mooney, 1996 ) 3 is determined to be 30 daily observations.…”

“… Machmuddah et al (2020) stated that corporate actions such as splits, right issues, and warrants can affect stock market efficiency, albeit slowly, while unexpected black swan occurrences such as economic embargoes, boom explosions, mass chaos, and pandemics can trigger very strong one-time impacts in the stock markets. It is a widely accepted concept in behavioral finance that occurrences instigating widespread panic, such as wars, elections, economic, political and financial crises, terrorist events, depressions, bubbles, exchange rate regimes, shocks, crashes, and pandemics, often lead to a breakdown of the efficient market hypothesis by causing asset prices to deviate from their fundamental values (see Kim et al, 2011 ; Lim et al, 2013 ; Niemczak and Smith, 2013 ; Urquhart and Hudson, 2013 ; Rodriguez et al, 2014 ; Charles et al, 2015 ; Khediri and Charfeddine, 2015 ; Verheyden et al, 2015 ; Charfeddine and Khediri, 2016 ; Rahman et al, 2017 ; Charfeddine et al, 2018 ; Lalwani and Meshram, 2020 ). To this end, this study empirically examines the impact of the COVID-19 pandemic on the efficiency of selected stock markets.…”

Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach

“…Otherwise, it can be inferred that the efficiency of the relevant market is consistent with the implications of the EMH. In the existing literature, a large number of studies have reported that the efficiency of various financial markets is time-varying consistent with the implications of the AMH (see, for example, Lo, 2004;Lim et al, 2013;Popović et al, 2013;Ghazani and Araghi, 2014;Verheyden et al, 2015;Ito et al, 2016;Noda, 2016;Charles et al, 2017;Rahman et al, 2017;Chu et al, 2019;Jiang and Li, 2020;Noda, 2020). These studies report time-varying return predictability by examining only price movements.…”

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

“…Additionally, Rahman et al (2017) examined the data of Bangladesh, India, Pakistan, and Sri-Lanka markets for the period between 1995 and 2013 by WBAVR test and price delay measures. Obtained results yielded time-varying efficiency, which is in line with the AMH.…”