Market Efficiency in Developing African Stock Markets: What Do We Know?

2015 ◽  
Vol 49 (1) ◽  
pp. 243-266 ◽  
Author(s):  
Pyemo N. Afego
Keyword(s):  
Market Efficiency ◽  
Stock Markets

Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency

2007 ◽  
Vol 10 (03) ◽  
pp. 309-328 ◽  
Author(s):  
Changjiang Lu ◽  
Kemin Wang ◽  
Haiwei Chen ◽  
James Chong
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Detrimental Effect ◽  
Regulatory Policy ◽  
International Markets ◽  
Policy Changes ◽  
Foreign Investors ◽  
Price Differential ◽  
Chinese Stock Markets ◽  
A Share

We investigate the effectiveness of two recent regulatory policy changes on market efficiency in the Chinese A- and B-share markets. Overall, the opening of the B-share market to domestic Chinese investors and the limited opening of the A-share market to foreign investors increase market efficiency. The opening of the B-share market significantly reduces the price differential between A- and B-shares. Furthermore, there is no longer feedback in returns between the two markets in recent years. Our results provide evidence that there is no detrimental effect to market efficiency by integrating Chinese investors to international markets and foreign investors to the Chinese stock markets.

Market efficiency of african stock markets: A Meta-Analysis

2017 ◽  
Vol 51 (4) ◽  
pp. 69-80
Author(s):  
Emmanuel Numapau Gyamfi ◽  
Kwabena A. Kyei ◽  
Ryan Gill
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Meta Analysis

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2012 ◽  
pp. 137-156
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Stock Indices ◽  
Stock Price Index ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

Do the Stock Market Indices Follow a Random Walk?

2021 ◽  
pp. 389-410
Author(s):  
Cristina Vasco ◽  
Pedro Pardal ◽  
Rui Teixeira Dias
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
South Korea ◽  
Market Efficiency ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market ◽  
Efficiency Hypothesis

This chapter aims to test the hypothesis of an efficient market, in its weak form, in the stock markets of Brazil, China, South Korea, USA, Spain, Italy, in the period from December 2, 2020 to May 12, 2020. The results show that the market efficiency hypothesis is rejected in all markets. In corroboration the DFA exponents show long memories, which put in question the market efficiency, in its weak form, suggesting that the stock markets analyzed show some predictability. In conclusion, investors should avoid investing in stock markets, at least while this pandemic lasts, and invest in less risky markets in order to mitigate risk and improve the efficiency of their portfolios.

Financial crisis and market efficiency: evidence from European stock markets

2019 ◽  
Vol 25 (13) ◽  
pp. 1194-1210 ◽  
Author(s):  
Tung Liang Liao ◽  
Li-Chueh Tsai ◽  
Mei-Chu Ke ◽  
Yi-Chein Chiang ◽  
Chuan-Hao Hsu
Keyword(s):  
Financial Crisis ◽  
Market Efficiency ◽  
Stock Markets ◽  
European Stock Markets

scholarly journals Market Efficiency of ASEAN Stock Markets

2017 ◽  
Vol 7 (2) ◽  
pp. 109-122 ◽  
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Market Efficiency ◽  
Stock Markets

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2010 ◽  
Vol 1 (2) ◽  
pp. 93-112 ◽  
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Price Changes ◽  
Stock Indices ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

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