Information Effects During the U. S. Subprime Crisis

Chen, Jengfang; Huang, Chunghuey; Wang, Ming-Long; Cheng, Jia-Chi

doi:10.2753/ree1540-496x460107

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Cited by 10 publications

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“…Additionally, using the factor analysis, they find a significant reduction in the number of common factors affecting the market returns. Reference [11] and [12] concluded that the co-movements among international stock markets are more harmonized after the crisis. From a review of recent studies on market linkages, we observe that most research, [13,14,15],find stronger co-movements among the global markets after a financial turbulence with the majority of the studies focus on the 1987stock market crash.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models

Abdelkefi¹

2015

IJEFM

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Section: Literature Reviewmentioning

confidence: 99%

Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models

Abdelkefi¹

2015

IJEFM

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Behavioural finance perspectives on Malaysian stock market efficiency

Tuyon¹,

Ahmad²

2016

Borsa Istanbul Review

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This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behaviouralrelated theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to boundedadaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency.

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