Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases

Yang, Baochen; Xue, Fangzhan; Su, Yunpeng; Yan, Cheng

doi:10.1016/j.pacfin.2019.04.005

Cited by 13 publications

(3 citation statements)

References 70 publications

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“…In addition, other results show that the company's performance, as represented by ROE, also has no effect on stock price crash risk. We find that information inefficiency results in general distrust of stock markets in developing countries (Yang et al , 2019). Information inefficiency is a global problem that always exists in the stock market, although more prevalent in developing countries than developed countries (Boya, 2019; Bartram and Grinblatt, 2021).…”

Section: Discussionmentioning

confidence: 80%

Does intellectual capital have any influence on stock price crash risk?

Probohudono

Pratiwi

Rochmatullah

2021

JIC

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PurposeThis paper explores the influence between intellectual capital (IC) and the risk of stock price crashes by using company performance as an intervening variable.Design/methodology/approachThis study empirically analyzes the impact of the efficiency of IC on stock price crash risk using a sample size of 152 companies listed on the Indonesia Stock Exchange (IDX) during 2018. To test the research hypotheses, regression analysis and path analysis were applied. In addition, the researchers added exploration to several studies to strengthen the results of this study.FindingsThis study’s findings indicate that investors' optimistic (pessimistic) sentiment regarding stock price volatility has obscured aspects of the financial performance of listed companies. This finding implies that investor sentiment has dominated influence on stock price crash risk so that the aspects of IC are obscured.Originality/valueThis research provides new information that IC disclosure in the stock market needs to include knowledge of the volatility of stock prices in order to reveal stock price crash risk.

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Section: Discussionmentioning

confidence: 80%

Does intellectual capital have any influence on stock price crash risk?

Probohudono

Pratiwi

Rochmatullah

2021

JIC

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“…Comparing developed and emerging markets, Jiang and Li [147] indicated that the Japanese and US stock exchanges are efficient in the normal market condition, while Chinese market was found to be generally inefficient. Conversely, Yang et al [148] suggest that US and Chinese stock markets are adaptive.…”

Section: Time Varying Efficiency Studiesmentioning

confidence: 98%

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

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“…at is, information efficiency can be the basis of market price efficiency, and the measurement of information efficiency is theoretically a test of market efficiency. But in developing economies' financial markets, due to the high appearance of false transactions and falsified financial data, some traditional models are not effective in studying these markets [5]. Since in markets, a transaction is a transaction, and the data that appear every moment bring useful information; therefore, this study looks forward to considering the problem in a purely data-driven way.…”

Section: Introductionmentioning

confidence: 99%

A Causal and Correlation Analysis between China Energy Futures and China Energy‐Related Companies Stock Market

Liu

Zhang

2021

Complexity

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Taking the opportunity of China’s launch of Shanghai crude oil futures (INE), this study empirically examined the information transmission in this immature financial market, investigating this issue from a new perspective. To identify the impact of INE on the related stock market, we collected high-frequency trading data of oil futures and 22 stocks owned by listed companies in the upstream and downstream of China’s oil-related industry chains, constructed a causal chain through Directed Acyclic Graph, and used MFDCCA-MODWT to perform multifractal analysis on the chain. Research shows that INE does have a causal relationship with the stock market of the related industry chain, and there is a multifractal correlation between its transaction time series. Subsequently, the source of fractal correlation was analysed with shuffled and surrogated sequences. We conclude that long memory plays a leading role and is the main reason for multifractal features.

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Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases

Cited by 13 publications

References 70 publications

Does intellectual capital have any influence on stock price crash risk?

Does intellectual capital have any influence on stock price crash risk?

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

A Causal and Correlation Analysis between China Energy Futures and China Energy‐Related Companies Stock Market

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