通过繁荣和萧条调查东亚股市的效率

Syed Aun R. Rizvi , Shaista Arshad
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引用次数: 25

摘要

在过去的几十年里,有效市场假说一直是争论的主题,最近人们对东亚市场的兴趣激增。本研究调查了经历了大量资本流入的东亚经济体,提出了这些市场是否足够有效以进行进一步投资和发展的问题。我们努力评估波动性和商业周期阶段,在弱形式效率研究中提供一个独特的方面。由于马来西亚、印度尼西亚、新加坡和韩国的经济和金融发展,我们重点关注这些国家。使用多重分形去趋势波动分析来研究效率,我们首先确定,在过去的二十年中,总体效率有所提高,其次,与之前的下降相比,市场在增长阶段更有效率。我们的结果与主流文献报道的结果一致。
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Investigating the efficiency of East Asian stock markets through booms and busts

The Efficient Market Hypothesis has been the subject of considerable debate over the past several decades with a recent surge in interest in East Asian markets. This study investigates the East Asian economies, which have experienced massive capital inflows, inviting the question of whether these markets are efficient enough for further investment and development. We endeavour to assess the volatility and business cycle phases, providing a unique aspect in weak form efficiency studies. We focus on Malaysia, Indonesia, Singapore and South Korea due to their economic and financial development. Using Multifractal Detrended Fluctuation Analysis to study efficiency, we determine first that overall efficiency has improved over the past two decades and second that markets are more efficient in growth phases in comparison to their preceding decline. Our results concur with those reported in the mainstream literature.

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