Financial crisis and stock market efficiency: Empirical evidence from Asian countries

By K. Lim, R. Brooks, Jae Hyun Kim. 2008

264 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b376a646c744af2f340a3ee809e54987151c041a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “Subsequent applications on other stock markets further support their conjecture (see Ammermann and Patterson, 2003; Bonilla et al., 2006; Romero-Meza et al., 2007; Lim, 2008b; Lim et al., 2008b).”
Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics (2020, background): “But empirical studies show that these indices have fluctuating efficiency and may encounter a loss of efficiency during financial crisis [1, 52].”
Measuring capital market efficiency: Global and local correlations structure (2012, unknown): “Gh”
Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data (2011, unknown): “These events have strong implications to the behaviour and psychology of market participants, which in turn may affect the pattern of price changes (see, for example, Kim and Shamsuddin, 2008; Lim et al., 2008).”
Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model (2016, unknown): “[46] investigates the effects of the 1997 financial crisis on the efficiency of eight Asian stock markets, applying the rolling bicorrelation test statistics for the three sub-periods of pre-crisis, crisis, and post-crisis.”
COVID-19 and financial market efficiency: Evidence from an entropy-based analysis (2021, result): “2012; Liu et al. 2020). The lower panel shows the informational efficiency across time scales. At the daily scale, the Dollar Index exhibits the highest efficiency at 85%, followed by gold market (71%), Bitcoin (60%) and S&P 500 Index which is the lowest at 43%. As time scale increases, the efficien”
Asymmetric causality tests with an application (2012, background): “(1998); Ojah and Karemera (1999); Henry and Olekalns (2002); Abraham et al. (2002);Buguk and Brorsen (2003); Malkiel (2003); Al-Khazali et al. (2007); Cajueiro et al. (2009); Ibrahim and Aziz (2003); Hatemi-J (2004a,b) as well as Lim and Kim (2008) .”