Semi-Strong Form Efficiency in the Baltic Stock Markets under Changing Economic Situation

Aleknevičienė, Vilija; Kviedaraitienė, Lauryna; Aleknevičiūtė, Eglė

doi:10.5755/j01.ee.29.5.19083

Cited by 5 publications

(2 citation statements)

References 34 publications

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“…In the semi-strong form of market efficiency the available information is generally expected to reflect stock prices. It aligns with what Alekneviciene et al (2018) said when analyzing in the semi-strong form of market efficiency; specific events, such as stock splits or dividend payout announcements, are preferred by the majority of studies. The overall strategy would begin with a proxy for the stock's return if the event were not to occur.…”

Section: Introductionsupporting

confidence: 68%

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Ningrum,

Risman

2022

EUrASEANs

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This research examines the semi-strong form of the market efficiency hypothesis in the context of dividend announcements at Indonesia Stock Exchange (IDX), specifically good news in the form of dividend value increase over the previous year and bad news in the form of dividend value decrease. This research aimed to see how dividend announcements affect stock prices and how effective the market reaction is. The samples used in this study are the companies listed on the mainboard with a cash dividend payment policy once a year and consistently distribute dividends in a row in 2020 and 2021. The observation method used in this study is non-participatory. The return anomaly of up to 59 sample companies was used, with a 21-day observation period. One statistically significant event occurred when announcements were positive (dividend increased), and three statistically significant events occurred announcements were negative (dividend dropped), according to the data results processed by t-test. It demonstrates that the market is effective and supports the market efficiency hypothesis in its semi-strong form.

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Section: Introductionsupporting

confidence: 68%

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Ningrum,

Risman

2022

EUrASEANs

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“…Other recent event studies include Alekneviciene et al (2018) and Balcilar et al (2018). Using data from the Baltic countries, Alekneviciene et al find that due to thin trading, the stock markets of Lithuania, Latvia, and Estonia are not efficient in the semistrong form.…”

Section: Literature Reviewmentioning

confidence: 99%

An Event Study on the Reaction of Equity and Commodity Markets to the Onset of the Russia–Ukraine Conflict

Obi

Waweru

Nyangu

2023

JRFM

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Using a standard event study methodology and the EGARCH model, this study examined the depth of market anomaly at the onset of the Russia–Ukraine conflict in 2022. Equity markets in Africa and G7 nations were analyzed for their varied political and economic connections to the conflict. While the G7 nations were strongly opposed to Russia, African countries remained neutral. This study shows that abnormal losses in the initial period of the conflict were larger and more persistent in the G7 markets, contradicting the widely held notion that more developed equity markets are more efficient than the less developed markets. EGARCH results revealed that volatility persistence was widely present, although the leverage effect was only confirmed for U.S. and Canada. Throughout the period, commodity prices rose sharply, producing significant abnormal gains in the futures market. Unfortunately, this had a deleterious effect on African economies due to their heavy reliance on grain and fuel imports, all of which are priced in U.S. dollars, and which also rose sharply during the period. This study concludes with suggestions on how to mitigate currency and commodity price shocks to dollar-reliant and import-dependent economies.

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Financial Behavior of Investors: Long-Run Overreaction Phenomenon in Euronext Stock Exchange

Aleknevičienė

Aleksandravičiūtė

2020

Eurasian Studies in Business and Economics

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Semi-Strong Form Efficiency in the Baltic Stock Markets under Changing Economic Situation

Cited by 5 publications

References 34 publications

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

Semi-Strong Efficient Market Hypothesis in Dividend Announcements at Indonesia Stock Exchange (Idx)

An Event Study on the Reaction of Equity and Commodity Markets to the Onset of the Russia–Ukraine Conflict

Financial Behavior of Investors: Long-Run Overreaction Phenomenon in Euronext Stock Exchange

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