Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
Series Vol. 51 , 01 December 2023
Open
Access | Article
The Market Efficiency in the Significant Events/Global Events: A Review of Empirical Research
* Author to whom correspondence should be addressed.
Abstract
The efficient market hypothesis is a significant theory widely applied in modern economic and financial research about the impact of sudden global emergencies on various markets. Investigating the influence of the Efficient Market Hypothesis on public contingencies can augment the understanding of market behavior and investors’ decision-making processes. This could enable anticipating market trends and risks, facilitating prudent investment activities. This study examines the empirical research through the methodology chosen, application, and comparison of conclusions to summarize the effects of the crisis on financial market efficiency within a theoretical analysis framework. This study explores the different methodologies and results of research that test market efficiency in response to events impacting economic performance. As market theory evolves, increasingly refined models are being used, leading to more precise measurements of event effects on markets and better forecasting of market impact for effective decision-making.
Keywords
efficient market hypothesis, pubic contingencies, methodology
References
1. Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105.
2. Fama, E. F. (1970). Efficient market hypothesis: A review of theory and empirical work. Journal of Finance, 25(2), 28-30.
3. Khan, W., & Vieito, J. P. (2012). Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon. International Review of Economics & Finance, 22(1), 173-189.
4. Kwiatkowski, D., et.al. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of econometrics, 54(1-3), 159-178.
5. Patra, S., & Hiremath, G. S. (2022). An Entropy Approach to Measure the Dynamic Stock Market Efficiency. Journal of Quantitative Economics, 20(2), 337-377.
6. Frezza, M., Bianchi, S., & Pianese, A. (2021). Fractal analysis of market (in) efficiency during the COVID-19. Finance Research Letters, 38, 101851.
7. Bowes, D. R. (2018). Stock market volatility and presidential election uncertainty: Evidence from political futures markets. Journal of Applied Business Research (JABR), 34(1), 143-150.
8. Giudice, D. D. (2020). Presidential tweets and stock market: the brexit case (Doctoral dissertation).
9. Bacon, F. W., & Cannon, C. C. (2018). Brexit announcement: A test of market efficiency. Journal of Applied Business and Economics, 20(8).
10. Fakhry, B., Aktan, B., Masood, O., Tvaronavičienė, M., & Celik, S. (2018). The impact of a recent natural disaster on the Japanese financial markets: Empirical evidence. Journal of Competitiveness, 10(2), 56.
11. AKTAN, C. (2022). Impact of major global events on the Turkish stock market efficiency. Hitit Sosyal Bilimler Dergisi, 15(2), 613-627.
12. Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800.
13. Dias, R., & Santos, H. (2020, July). Stock market efficiency in Africa: Evidence from random walk hypothesis. In 6th LIMEN Conference Proceedings (part of LIMEN conference collection) (Vol. 6, pp. 25-37).
14. Vasileiou, E. (2021). Efficient Markets Hypothesis in the time of COVID-19. Review of Economic Analysis, 13(1), 45-63.
15. Degutis, A., & Novickytė, L. (2014). The efficient market hypothesis: A critical review of literature and methodology. Ekonomika, 93, 7-23.
16. Hashim, N., & El Mosallamy, D. (2020). Presidential elections and stock market: a comparative study. Journal of Finance and Economics, 8(3), 116-126.
17. Ozkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58, 101445.
18. Kakinaka, S., & Umeno, K. (2022). Cryptocurrency market efficiency in short-and long-term horizons during COVID-19: An asymmetric multifractal analysis approach. Finance Research Letters, 46, 102319.
19. Gaio, L. E., et.al. (2022). The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market. Finance Research Letters, 50, 103302.
20. Charles, A., Darné, O., & Kim, J. H. (2011). Small sample properties of alternative tests for martingale difference hypothesis. Economics Letters, 110(2), 151-154.
Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License. Authors who publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See Open Access Instruction).
- Volume Title
- Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
- ISBN (Print)
- 978-1-83558-149-0
- ISBN (Online)
- 978-1-83558-150-6
- Published Date
- 01 December 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/51/20230600
- Copyright
- 01 December 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited