{"title":"地方性和全球性危机对股票市场效率的影响","authors":"M. Bhatia","doi":"10.1177/09763996221149646","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":41791,"journal":{"name":"Millennial Asia","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Impact of the Local and Global Crisis on Stock Market Efficiency\",\"authors\":\"M. Bhatia\",\"doi\":\"10.1177/09763996221149646\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":41791,\"journal\":{\"name\":\"Millennial Asia\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2023-05-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Millennial Asia\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1177/09763996221149646\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"AREA STUDIES\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Millennial Asia","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/09763996221149646","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"AREA STUDIES","Score":null,"Total":0}
Impact of the Local and Global Crisis on Stock Market Efficiency
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.
期刊介绍:
Millennial Asia: An International Journal of Asian Studies is a multidisciplinary, refereed biannual journal of the Association of Asia Scholars (AAS)–an association of the alumni of the Asian Scholarship Foundation (ASF). It aims to encourage multifaceted, multidisciplinary and interdisciplinary research on Asia, in order to understand its fast changing context as a growth pole of global economy. By providing a forum for Asian scholars situated globally, it promotes dialogue between the global academic community, civil society and policy makers on Asian issues. The journal examines Asia on a regional and comparative basis, emphasizing patterns and tendencies that go beyond national borders and are globally relevant. Modern and contemporary Asia has witnessed dynamic transformations in cultures, societies, economies and political institutions, among others. It confronts issues of collective identity formation, ecological crisis, rapid economic change and resurgence of religion and communal identifies while embracing globalization. An analysis of past experiences can help produce a deeper understanding of contemporary change. In particular, the journal is interested in locating contemporary changes within a historical perspective, through the use of interdisciplinary and multidisciplinary approaches. This way, it hopes to promote comparative studies involving Asia’s various regions. The journal brings out both thematic and general issues and the thrust areas are: Asian integration, Asian economies, sociology, culture, politics, governance, security, development issues, arts and literature and any other such issue as the editorial board may deem fit. The core fields include development encompassing agriculture, industry, regional trade, social sectors like health and education and development policy across the region and in specific countries in a comparative perspective.