Efficient market and the COVID-19 pandemic: Case of ASEAN-5

Pontoh, Winston; Budiarso, Novi Swandari

doi:10.58784/cfabr.7

Cited by 9 publications

(1 citation statement)

References 19 publications

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“…Market efficiency Kiky (2018) finds that not all economic events affect market efficiency. However, Pontoh and Budiarso (2022), and Budiarso and Pontoh (2023) prove that market conditions in which stock prices fluctuate due to relevant information on economic events are called efficient markets. Juliana et al (2023) find that stock movements in Indonesia tend to be more efficient in the period from 2017 to 2020.…”

Section: Literature Reviewmentioning

confidence: 99%

The “Christmas Effect” on defensive accelerated stocks

Kuada,

Mamonto

2023

CFABR

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The Christmas event in December 2022 is accompanied by an increase in inflation and also an increase in interest rates. The objective of this study is to examine the Christmas effect on optimal returns for investors. To analyze this phenomenon, this study carries out several stages, which are testing the market efficiency and estimating whether there are abnormal returns or not throughout the Christmas period. The consumer non-cyclical sector stocks in the accelerating trading board are used as the sample. The observation period is from 28 November 2022 to 20 January 2023 and is divided into two sub-periods. This study finds that market condition is inefficient before the Christmas event, resulting in higher abnormal returns and risks.

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Section: Literature Reviewmentioning

confidence: 99%

The “Christmas Effect” on defensive accelerated stocks

Kuada,

Mamonto

2023

CFABR

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COVID-19 and market efficiency in ASEAN-5 countries: Stochastic Frontier Analysis

Rizqi Febriandika,

Shohwatul Islam,

Sanusi

et al. 2024

Investment Management and Financial Innovations

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This research paper aims to explore the market efficiency of stock exchanges in of ASEAN-5 countries, Indonesia, Malaysia, Singapore, Thailand, and the Philippines, during the COVID-19 pandemic. Stock market efficiency is the degree to which stock prices reflect all available relevant information. In an efficient market, stock prices will immediately rise or fall to reflect new information released by a company. This study uses the Stochastic Frontier Analysis (SFA) method to determine the efficient value over time. Market efficiency generally refers to how well financial markets in these selected countries reflect all available information, particularly in the context of the COVID-19 pandemic. SFA is useful here as it can separate random errors from inefficiencies, allowing us to isolate the impact of COVID-19 on market efficiency levels across these countries. The results show that the stock markets of ASEAN-5 countries (Indonesia, Malaysia, Thailand, Singapore, and Philippines) are efficient during the COVID-19 pandemic. Based on the hypothesis test, for the overall period of 2021 and 2023, the average efficiency ranges from 0.68 to 0.72, and for the time period/per year the average efficiency ranges from 0.66 to 0.74. The efficiency of the Philippine stock market based on time period/per year shows the average maximum efficiency in 2021 (0.74) and 2023 (0.73). While the average efficiency of the Malaysian stock market shows the minimum level of efficiency in 2020 (0.66) and 2021 (0.68). AcknowledgmentThe authors would like to thank the Research and Innovation Institute (LRI), Universitas Muhammadiyah Surakarta, for the enormous financial support in writing this study.

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Efficient Market Hypothesis During Covid-19 Pandemic: Brics-T Countries

Öztürk,

Çelik,

Avbaz

2024

Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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The impact of COVID-19 on financial markets has become a significant topic of research in the literature. Particularly, the declaration of the outbreak as a global pandemic by the World Health Organization on March 11, 2020, altered investors' risk perceptions and led to major fluctuations in stock markets. In this study, the response of stock indices in BRICS-T countries (Brazil, Russia, India, China, South Africa, and Türkiye) to the pandemic declaration was analyzed using the Event Study method. The event window was set as -5 to +5 days, and the estimation window was selected as the 90 days preceding the event. As a result of the analysis based on the comparison of normal and abnormal returns, it was found that all BRICS-T stock markets, except China, were not semi-strong form efficient. In addition, the results of the paired sample t-test applied to all stock markets demonstrated that the difference between abnormal returns calculated before and after COVID-19 was statistically significant. In this context, it was concluded that, unlike previous outbreaks, the COVID-19 pandemic led to significant fluctuations in financial markets. This study provides an important contribution to understanding the effects of the pandemic on emerging markets and examining investor behavior.

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Efficient market and the COVID-19 pandemic: Case of ASEAN-5

Cited by 9 publications

References 19 publications

The “Christmas Effect” on defensive accelerated stocks

The “Christmas Effect” on defensive accelerated stocks

COVID-19 and market efficiency in ASEAN-5 countries: Stochastic Frontier Analysis

Efficient Market Hypothesis During Covid-19 Pandemic: Brics-T Countries

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