Globalization and stock market efficiency

Market efficiency is of great importance to many investors, policy makers, as well as researchers. It provides them with information regarding the market and acts as a guide in their decision-making process. For this reason, there have been extensive amount of research done through the years. However, the World has witnessed several major events in the last couple of decades, which has been of great importance for financial markets, having both direct and indirect impacts. The Global Financial Crisis of 2008 and the COVID-19 pandemic can be the two most important events the World has experienced. Although past research shows that the impact of both events on the efficiency of the stock markets were looked at in separate studies, there is lack of studies involving both major events and analysing how the efficiency of the stock market is changing between these periods. The aim of this study is to analyse the weak-form efficiency of the Turkish stock market and how it has evolved over time. There are 4 different data sets used to observe the changes in market efficiency, with full sample ranging from February 1988 to September 2022. Monthly closing prices of the BIST100 Index are analysed using both the traditional linear Augmented Dickey-Fuller unit root test and 5 different non-linear unit root tests. Results show that different tests have different strengths in capturing the stationarity and due to the LNV test Turkish Stock Market was found not to be weak form efficient.

: تحتل الأسواق المالية مرکزا حيويا في النظم الاقتصادية الحديثة نظرا لما تقوم به من وظائف ومهام تمثل حلقة من حلقات بناء القطاع المالي في أي دولة وحتى تتمکن الأسواق المالية من تأدية هذه الوظائف يتطلب ذلک توفير أحدث وأنجح وسائل التداول . وقد قامت الدراسة على فرض رئيسي ينص على أنه لا توجد علاقة معنوية ذات دلالة إحصائية بين تقلبات الأسعار وکفاءة أسواق الأوراق المالية وقد هدفت الدراسة إلى تحديد أثر تقلبات الأسعار على کفاءة أسواق الأوراق المالية المصري . تمثلت أهمية الدراسة من خلال تناولها لأحد المواضيع البحثية محل الجدل والنقاش ، نظرا لما يرتبط بالتداول عالى التردد HFT من مخاطر ومزايا ومدى تأثير ذلک على کفاءة أسواق الأوراق المالية يتکون مجتمع الدراسة من المتداولين الأفراد والمستثمرين المؤسسين بسوق الأوراق المالية المصري . وقد توصلت الدراسة من خلال اختبارات الفروض باستخدام معامل الارتباط بيرسون إلى أن هناک علاقة طردية موجبة بين التداول عالى التردد بشکل عام وکفاءة أسواق الأوراق المالية وقد أوصت الدراسة بضرورة نظر شرکات السمسرة إلى التداول عالى التردد HFT کوسيلة لتحقيق احتياجات عملائها حيث إنهم السوق الأول لها ورضاؤهم عن شرکات التداول يوفر الدافعية لجذب عملاء جدد . Abstract: Financial markets have a vital position in modern economic systems due to their functions and tasks which are one of the cycles of building the financial sector in any country. In order that financial markets could perform such functions, it is necessary to provide the latest and most successful trading methods and information technologies. The study was based on a main assumption that is no statistically significant relationship between price fluctuations and the efficiency of stock markets. The study aimed to identify price fluctuations in stock markets and determine the effect of HFT on the efficiency of the Egyptian stock market. The importance of study stems from tackling one of the research topics under argument and debate due to the risks and advantages related to HFT and their effect on stock market efficiency. The population of study consists of traders and institutional investors in the Egyptian stock market. Through testing hypotheses using Pearson correlation coefficient, the study found that there is a positive relationship between HFT in general and stock market efficiency. The study recommended that brokerage firms should consider HFT as a means to achieve their customers’ needs as they are their first market and their satisfaction with trading firms provides motivation to attract new customers.

Following the last global financial crisis, efficiencies of stock markets have come to sight as a novel area of research. The question of what factors shape the efficiency of the stock market is naturally always of curiosity in theory and practice. In line with the framework of this curiosity, this study examines the determinants that play a crucial role in the efficiency of a certain stock market, Borsa Istanbul. Our study contributes to the literature by using five years and daily data for both individual and institutional investors. We here aim to specify the ten determinants of efficiency which are categorized under investor-based, market-based and country-based determinants. According to the three different regressions and VAR analysis, the model indicates the strong relationship between the efficiency and the specified determinants such as turnover, market volatility, the share of foreign investors, and interest rate.

Impact of China's Stock Market Development on Energy Consumption: An Empirical Analysis

In this paper we investigate three empirical aspects of emerging stock markets. First, we use the endogenous structural break techniques of Bai (1996) and Bai and Perron (1998) to identify stock market opening dates in 16 different emerging market countries. The results indicate that there is some weak evidence that endogenous break opening dates precede the official opening dates as described by other authors. This suggests that information prior to the official opening date influenced market activity. Second, using the endogenous break dates as the true opening dates, we examine whether the opening of the market improves stock market efficiency. Using two different forms of data and several econometric tests, we find that opening has generally not increased stock market efficiency. Indeed, it appears that the markets were as efficient before the openings as they were after. Third, we apply the endogenous break techniques to emerging market composite portfolios. We find that the overall composite portfolio shows little evidence of a structural break. However, the regional indexes do indicate breaks around important periods of financial change. The Latin American composite index displays a break exactly during the period when the Brady Debt reduction initiative was announced. The Asian composite index shows several breaks including the period close to the 1997 East Asian Financial Crisis.

B a c k g r o u n d . An essential condition for the development of the national stock market is the availability of relevant theoretical and methodological approaches to analyzing and evaluating its efficiency. The study aims to determine approaches to assessing the efficiency of the Ukrainian stock market by empirically testing the random walk hypothesis for the UX and WIG-Ukraine indices and establishing the feasibility of applying the hypotheses of efficient and adaptive markets. M e t h o d s . The study employs general scientific methods, including theoretical analysis, comparison, and grouping, to systematize approaches to stock market efficiency assessment. The variance ratio test is applied as a statistical method to verify the random walk hypothesis using the UX and WIG-Ukraine indices, thereby evaluating the relevance of efficient and adaptive market hypotheses in the context of Ukraine's stock market. R e s u l t s . The existing theoretical and methodological approaches to the comprehensive assessment of stock market efficiency are considered and their key differences are identified. Calculations of the variance ratio test for the UX and WIG-Ukraine indices as the main indicators of the stock market of Ukraine are carried out. The peculiarities of the price behavior of the UX and WIG-Ukraine indices at different time periods are allocated, which is necessary to test the random walk hypothesis and further determine the relevance of applying the efficient markets hypothesis and the adaptive markets hypothesis in the context of assessing the efficiency of the domestic stock market. C o n c l u s i o n s . The study establishes the use of the hypothesis of efficient markets and the hypothesis of adaptive markets as theoretical and methodological approaches in the foreign scientific literature for a comprehensive analysis of the peculiarities of the functioning of global and national stock markets. The use of individual statistical models to assess the efficiency of the domestic stock market, including the analysis of concentration, price anomalies, risks, volatility and persistence, has been identified. The expediency of combining the hypothesis of efficient markets and the hypothesis of adaptive markets to analyse the efficiency of the national stock market is determined, due to the variability of market efficiency and inefficiency at different time intervals for the UX and WIG-Ukraine indices.

The investigated Nigeria’s macroeconomic landscape and stock market efficiency between 1995 and 2023. Annual time series “data on All Share Index (ASI), exchange rate interest rate, Gross Domestic Product and inflation rate were obtained from the Central Bank of Nigerian statistical bulletin (several issues). The data were analysed using the ARDL model and the findings revealed that interest rate and GDP had positive and significant impact on the efficiency of the Nigerian stock market, while inflation rate and Naira/Dollar exchange rate had negative but significant impact of the efficiency of the Nigerian stock market. The study concludes that interest rate, inflation rate, GDP and exchange rate are all essential variables in influencing or predicting the performance of the Nigerian Stock exchange market. Therefore, it is recommended amongst others that policymakers should maintain a balance between fostering investment and controlling inflation. The Central Bank of Nigeria (CBN) should implement flexible interest rate policies that encourage both domestic and foreign investment in the stock market while ensuring sustainable economic growth.” Keywords: Macroeconomic landscape, stock market efficiency, All Share Index

The investigated Nigeria’s macroeconomic landscape and stock market efficiency between 1995 and 2023. Annual time series “data on All Share Index (ASI), exchange rate interest rate, Gross Domestic Product and inflation rate were obtained from the Central Bank of Nigerian statistical bulletin (several issues). The data were analysed using the ARDL model and the findings revealed that interest rate and GDP had positive and significant impact on the efficiency of the Nigerian stock market, while inflation rate and Naira/Dollar exchange rate had negative but significant impact of the efficiency of the Nigerian stock market. The study concludes that interest rate, inflation rate, GDP and exchange rate are all essential variables in influencing or predicting the performance of the Nigerian Stock exchange market. Therefore, it is recommended amongst others that policymakers should maintain a balance between fostering investment and controlling inflation. The Central Bank of Nigeria (CBN) should implement flexible interest rate policies that encourage both domestic and foreign investment in the stock market while ensuring sustainable economic growth.” Keywords: Macroeconomic landscape, stock market efficiency, All Share Index

The efficient market hypothesis (EMH) has been subject to debate for decades. The field of behavioural finance was developed in response to the body of anomalous evidence with regard to the EMH. However important the establishment of the EMH by Fama in 1970, the first ideas on a theory of efficient markets can be traced back to the origins of modern economics. Reviewing seminal work underlying the efficient markets theory, and focusing on the development of appropriate methodology to test for weak form market efficiency. The study empirically investigated the effect of stock market on efficient market hypothesis with emphasis on weak form hypothesis for the period of 1986 to 2021. Using descriptive analysis and Ordinary Lease Square regression econometric approach to analyze the relationship between stock market and market efficiency in Nigerian. The outcome from the result found that market capitalization has significant effect on share price while value of transaction had insignificant effect on share price in Nigeria, the study therefore concluded there is existence of weak form of efficient market hypothesis in Nigeria stock market. Keywords: Stock Market, Market Efficiency, Nigeria DOI: 10.7176/EJBM/15-4-06 Publication date: February 28 th 2023

我国股票市场的监管效率还较为低下，主要表现为：监管法律法规不完善、监管体系不健全、违规处罚力度过轻、行政干预过度等。本文从股票市场监管的中间目标和根本目标入手，选取股票发行的监管效率、监管者的执法效率、股票市场监管的社会效率作为指标，运用描述性统计分析法和事件研究法对我国股票市场监管效率进行研究，同时还分析了导致监管效率低下的原因，并提出了相应的改进建议。 The regulatory efficiency of Chinese stock market is still relatively low. The law is not perfect, the regulatory system is not complete, the degree of punishes cases is too weak, and the administrative interference is too heavy. Starting with the intermediate target and the basic target of the stock market supervision, this paper selects the regulation efficiency of issuing shares, the law enforcement efficiency of regulators, the economic efficiency of stock market as studying indexes. Descriptive statistical analysis and event study method are used in this research to study on the regulatory efficiency of Chinese stock market. At the meantime, this paper also analyzes the reasons for low efficiency of supervision and puts forward relevant suggestions for improvement.

This paper studies the long- and short-run relationship between financial liberalization and stock market efficiency. It expands the extant body of knowledge by investigating Granger causality relationship applying mean group, common correlated effect mean group and common correlated effect pooled estimator to balanced panel data for 27 emerging markets over the period 1996–2011. We find evidence of financial liberalization Granger causes stock market efficiency, which is consistent with liberalization leads to efficiency hypothesis. Subsequently, our work makes a fresh contribution to the literature by focusing on informational efficiency of stock markets rather than financial development. Furthermore, we find that a negative long-term relationship between financial liberalization and stock return autocorrelation coexists with a positive short-term relationship between the two. The findings that financial liberalization, which has a deteriorated effect on stock market efficiency in the short-run, but positive impact in the long-run, allow us to draw an analogy similar to the J-curve hypothesis.

Necessary actions should be taken to ensure stock market efficiency; thus, financial innovation-based criteria that affect stock market efficiency should be improved. However, simultaneously improving all criteria is difficult; therefore, performing priority analysis is important for carrying out this process effectively and efficiently. Accordingly, this study aims to evaluate the financial innovation-based characteristics of stock market efficiency. This study’s main research question within this framework is identifying which factors should be prioritized to improve the stock market. In this scope, we created a novel fuzzy decision-making model consisting of two stages. First, selected criteria for the financial innovation-based characteristics of stock market efficiency are weighted. In this process, quantum spherical fuzzy sets based on DEMATEL are considered. In the second stage, selected economies are ranked using the technique for order of preference by similarity to ideal solution (TOPSIS) approach. This study’s main contribution is that the DEMATEL technique in calculating criterion weights in the decision-making analysis process provides some advantages. With the help of this situation, the causal directions between these items can be considered; thus, it is possible to determine the most accurate strategies. The findings demonstrate that providing tax advantages is the most important factor in ensuring stock market efficiency. Moreover, the excellence of the financial system is critical in ensuring stock market efficiency. In this context, it is possible to provide tax advantages, especially for long-term investments. Thus, long-term investments can be increased, significantly increasing the market’s stability.

Many empirical works study the efficient market hypothesis by examining the relationship between the macroeconomic factors and the stock markets, however, there are scant studies focused on the economic uncertainty in a precise method by studying the stock market efficiency. The purpose of this paper is to propose the conceptual framework of stock market efficiency in economic uncertainty. The economic uncertainty, can be categorized into exchange rate uncertainty, monetary policy uncertainty (namely, interest rate uncertainty, money supply uncertainty), inflation uncertainty, and output uncertainty, and is associated with the stock market efficiency. The expected findings suggest that economic uncertainty contains useful information and is important in determining the stock market efficiency and could promote a better efficiency in stock market.

The study examines the efficiency of the Philippine stock market using stock price movements during the period July 1987 to May 2004. Characterizing stock price movements as an AR(1) process with Laplace residuals, the statistical evidence supports the hypothesis that the Philippine stock market is weak-form efficient. An examination of major events that could plausibly affect share prices and large price movements from an event study perspective indicates fairly rapid absorption by the market of information, except in cases of extreme stress caused by political and economic shocks. Furthermore, factors other than information about fundamentals appear able to cause major share price movements. Given these, the support for the semistrong-form efficiency of the stock market is mixed.

The study examines the evolution of the stock market efficiency of Indian banks during the period from 1 January 2007 to 30 June 2022. The study also seeks to investigate the degree of the impact of the different crises on the stock market efficiency in response to three major events: the global financial crisis, the local banking crisis and the pandemic crisis. For this, the wild bootstrap automatic variance ratio (WBAVR) test is applied using the rolling window method to account for the implications of the adaptive market hypothesis (AMH). For the robustness of the analysis, the study applies the automatic portmanteau (AQ) test, which is also based on a data-driven procedure. The findings show that the market efficiency of Indian banks is not an all-or-nothing phenomenon; rather, both efficiency and inefficiency co-exist simultaneously, with the Central Bank of India noted to be the most ‘inefficient’ bank. The findings demonstrate that market efficiency is ‘context-dependent’, that is, the stock market efficiency significantly alters in response to black-swan events happening in the economy. The study sheds light on the degree of the impact of different events on market efficiency, and it is shown that the internal crisis of the industry of high NPAs has a far greater impact on market efficiency compared to the global financial and pandemic crises. This research may assist policymakers in developing a comprehensive strategy to enhance the stock market efficiency of Indian banks in the face of such local and global crises.