Efficient market hypothesis in emerging stock markets: gradual shifts and common factors in panel data

被引：1

作者：

Nazlioglu, Saban ^{[1
,2
]}

Pazarci, Sevket ^{[3
]}

Kar, Asim ^{[1
]}

Varol, Osman ^{[1
]}

机构：

[1] Pamukkale Univ, Dept Int Trade & Finance, Denizli, Turkiye

[2] Nisantasi Univ, Dept Econ & Finance, Istanbul, Turkiye

[3] Nisantasi Univ, Dept Finance & Banking, Istanbul, Turkiye

来源：

APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 18期

关键词：

Efficient market hypothesis; gradual shifts; common factor; panel data; emerging markets; BREAKS;

D O I：

10.1080/13504851.2023.2206613

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We test the efficient market hypothesis (EMH) in emerging markets by simultaneously considering gradual shifts and common factors. Findings indicate that (i) while the test with sharp breaks does not support EMH, the tests with gradual/smooth shifts and common factors support EMH in emerging markets; (ii) considering structural breaks as a gradual process within a common factor framework is important for emerging financial markets; and finally (iii) increasing time span sheds light more on EMH.

引用

页码：1773 / 1779

页数：7

共 50 条

[21] Market Shocks and Stock Volatility: Evidence from Emerging and Developed Markets
Tabash, Mosab I.
Chalissery, Neenu
Nishad, T. Mohamed
Al-Absy, Mujeeb Saif Mohsen
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2024, 12 (01):
[22] Stock market impact of cross-border acquisitions in emerging markets
Norback, Pehr-Johan
Persson, Lars
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 48 : 346 - 363
[23] Identification of common factors in panel data growth model
Deniz, Pinar
Stengos, Thanasis
Yazgan, M. Ege
ECONOMICS LETTERS, 2018, 168 : 94 - 97
[24] Joint estimation of gradual variance changepoint for panel data with common structures
Liang, Wanfeng
Guo, Yunfei
Wu, Yue
STAT, 2021, 10 (01):
[25] Determinants of stock market returns in emerging markets: The linkage between institutional quality and macro liquidity
Nguyen, Canh P.
Schinckus, Christophe
Su, Thanh D.
Chong, Felicia H. L.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2022, 27 (04) : 4472 - 4486
[26] Martingales, detrending data, and the efficient market hypothesis
McCauley, Joseph L.
Bassler, Kevin E.
Gunaratne, Gemunu H.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2008, 387 (01) : 202 - 216
[27] Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries
Asteriou, Dimitrios
Bashmakova, Yuliya
ENERGY ECONOMICS, 2013, 38 : 204 - 211
[28] Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets
Khan, Maaz
Khan, Mrestyal
Kayani, Umar Nawaz
Mughal, Khurrum Shahzad
Mumtaz, Roohi
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2023, 11 (03):
[29] Day-of-the-week effect and market liquidity: A comparative study from emerging stock markets of Asia
Khan, Badal
Aqil, Muhammad
Alam Kazmi, Syed Hasnain
Zaman, Syed Imran
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (01) : 544 - 561
[30] Global factors and the transmission between United States and emerging stock markets
Naeem, Muhammad Abubakr
Farid, Saqib
Qureshi, Fiza
Taghizadeh-Hesary, Farhad
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (04) : 3488 - 3510

← 1 2 3 4 5 →