Financial reforms and time-varying microstructures in emerging equity markets

Lagoarde‐Segot, Thomas

doi:10.1016/j.jbankfin.2009.01.007

Cited by 38 publications

(14 citation statements)

References 32 publications

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“…Some of the events described in Table 2 are covered only by the IASPlus website: iasplus.com. Many studies in the accounting and finance literature identify this website as the most popular channel that disseminates relevant information on IAS/IFRS (Lagoarde-Segot, 2009;Larson and Street, 2011;Joos and Leung, 2013;Ramanna and Sletten, 2014). However, it is likely that these events did not impact the market substantially, and confounding events might have driven the price reaction.…”

Section: [Table 4: Stock Market Reaction To Ifrs 9 Adoption Events]mentioning

confidence: 99%

Pre-adoption market reaction to IFRS 9: A cross-country event-study

Onali¹,

Ginesti²

2014

Journal of Accounting and Public Policy

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Weare the first to examine the market reaction to 13 announcement\ud dates related to IFRS 9 for over 5400 European listed firms. We find\ud an overall positive reaction to the introduction of IFRS 9. The regulation\ud is particularly beneficial to shareholders of firms in countries\ud with weaker rule of law and a smaller divergence between local\ud GAAP and IAS 39. Bootstrap simulations rule out the possibility that\ud sampling error or data mining are driving our findings. Our main\ud findings are also robust to confounding events and the extent of\ud the media coverage for each event. These results suggest that investors\ud perceive the new regulation as shareholder-wealth enhancing\ud and support the view that stronger comparability across accounting\ud standards of European firms is beneficial to international investors\ud and outweighs the costs of poorer firm-specific information

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Section: [Table 4: Stock Market Reaction To Ifrs 9 Adoption Events]mentioning

confidence: 99%

Pre-adoption market reaction to IFRS 9: A cross-country event-study

Onali¹,

Ginesti²

2014

Journal of Accounting and Public Policy

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“…Both studies show that weak protection is associated with persistent stock price deviations from a random walk and a high degree of stock price synchronicity, respectively. A recent paper by Lagoarde‐Segot (2009) examines, among other things, the impact of financial reforms on the time‐varying informational efficiency of 28 emerging stock markets over the sample period 1996–2007. The significant determinants of market efficiency identified by their panel regressions are domestic market capitalization, financial sector development, international portfolio equity flows, the enforcement of insider trading regulations, and the automation of trading systems.…”

Section: Rolling Estimation Windows With Fixed Parameter In Each Wmentioning

confidence: 99%

The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature

Lim

Brooks²

2011

Journal of Economic Surveys

321

152

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This paper provides a systematic review of the weak-form market efficiency literature that examines return predictability from past price changes, with an exclusive focus on the stock markets. Our survey shows that the bulk of the empirical studies examine whether the stock market under study is or is not weak-form efficient in the absolute sense, assuming that the level of market efficiency remains unchanged throughout the estimation period. However, the possibility of time-varying weak-form market efficiency has received increasing attention in recent years. We categorize these emerging studies based on the research framework adopted, namely non-overlapping sub-period analysis, time-varying parameter model and rolling estimation window. An encouraging development is that the documented empirical evidence of evolving stock return predictability can be rationalized within the framework of the adaptive markets hypothesis.

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“…It suggests that the US stock market was the most efficient around the year 1990 in the last half of century in terms of level of market efficiency. Hence, studies on market efficiency reveal that EMH assumptions are in fact trivial owing to time factor (Bariviera et al 2012;Kim et al 2011;Chuluun et al 2011;Gu and Finnerty 2002;Lagoarde-Segot 2009). However, Akbas et al (2014) found that market is efficient during the study period, not in absolute terms, rather in terms of time-varying relative market efficiency.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Consequently, Tsutsui and Hirayama (2004) has used the VAR specification exclusively lag length criteria to capture the responses of stock markets utmost precisely. Cheung et al (2009) examined the contagious effect of credit risk mimicking global financial crisis in -2009. Successively Hirayama and Tsutsui (2013 unlock the stock price comovement through systematic and idiosyncratic shocks, respectively.…”

Section: Literature Reviewmentioning

confidence: 99%

Time-varying global financial market inefficiency: an instance of pre-, during, and post-subprime crisis

Roy

Shijin

2014

Decision

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The informational efficiency is the central backdrop among researchers in the quest of behavioral finance since Fama (J Financ 25:383-417, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the liberalizationprivatization-globalization played the role of catalyst to form the global stock market convergence. Predominantly, the financial liberalization in the foreign policies over the last two decades enabled the institutional and rational investors to diversify their risk through holding different classes of asset, forming the portfolio. However, the availability of investment opportunity sets to investor in two stock markets subsequently results in portfolio diversification, and hence arbitrage occurs simultaneously across the two markets (Ito et al., Appl Financ 46(23):2744-2754, 2014). The country risk premium and world risk premium in segmented market and integrated market concurrently vary, and thus it is perceivable to examine the joint efficiency among the various stock markets when markets are highly integrated. This study aims to analyze the time-varying structure of world market dynamic linkages and the persistence of global financial market inefficiency present during an instance of subprime crisis.

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Financial reforms and time-varying microstructures in emerging equity markets

Cited by 38 publications

References 32 publications

Pre-adoption market reaction to IFRS 9: A cross-country event-study

Pre-adoption market reaction to IFRS 9: A cross-country event-study

The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature

Time-varying global financial market inefficiency: an instance of pre-, during, and post-subprime crisis

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