The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Erer, Deniz; Erer, Elif; Güngör, Selim

doi:10.1186/s40854-023-00484-4

Cited by 5 publications

(2 citation statements)

References 96 publications

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“…Moreover, it's worth noting that all pairs exhibit (𝛼 𝑥𝑦 (0) > 0.5). Regarding financial implications, our findings reject the Efficient Market Hypothesis (EMH) Gunduz (2021) proposed by Fama (𝛼 𝑥𝑦 (0) = 0.5) and ratify the Fractal Market Hypothesis (FMH) Kristjanpoller et al (2022); Erer et al (2023).…”

Section: Resultscontrasting

confidence: 41%

Impacts of COVID-19 on USA Education Stocks and Asymmetric Information

Fernandes,

Silva,

Araujo

et al. 2023

Preprint

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This paper promotes an exchange of scientific information considering two cornerstones for modern economic-financial theory: the Efficient Market Hypothesis in weak form (EMH), Asymmetric Information and Multifrac-tal Theory. We employ the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to check the effects caused by COVID-19 in one of the most relevant economic sectors to the Economic Growth theory, the Education sector. Therefore, our analysis considers two non-overlapping periods (before, during and after COVID-19) to investigate the intricate multifractal dynamics between volatility time series pairs of these assets fixed the EDU asset. For both periods, our findings categorically rejected the Efficient Market Hypothesis in Fama’s sense and ratified the Fractal Market Hypothesis. Also, analyzing the asymmetry multifractal parameter validates the Asymmetric Information in Stiglitz’s sense for both periods. Our empirical evidence clarifies the complex dynamics of peculiar USA education group stocks and provides a better understanding of the most diverse stakeholders.

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Section: Resultscontrasting

confidence: 41%

Impacts of COVID-19 on USA Education Stocks and Asymmetric Information

Fernandes,

Silva,

Araujo

et al. 2023

Preprint

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“…However, the COVID-19 crisis took place because of the pandemic and has a noneconomic nature, due to which the risks for companies during this crisis might be specific. The results of recent published work on the topic of the influence of the COVID-19 pandemic and crisis on risks for companies are reflected in the work by Abdi et al (2023), Erer et al (2023), Fortunato et al (2023), Hean and Chairassamee (2023), Kanamura (2023), Loughran and McDonald (2023), and Tang et al (2023). In the existing literature (Popkova and Sergi 2021;Yelikbayev and Andronova 2022), only certain aspects of the risks for companies during the COVID-19 crisis are reflected.…”

Section: Literature Review and Gap Analysismentioning

confidence: 99%

Risks for Companies during the COVID-19 Crisis: Dataset Modelling and Management through Digitalisation

Skryl,

Gerasimova,

Chutcheva

et al. 2023

Risks

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The goal is to create a systemic risk profile of companies during the COVID-19 crisis, which reflects their cause-and-effect relationships and risk management. The research objects are the following types of risks for companies listed in “Global-500” (Fortune) and the top 55 most competitive digital economies of the world (IMD) in 2017–2022: (1) risk of reduction in competitiveness (rank), (2) risk of reduction in revenue, and (3) risk of reduction in profit. The research methodology is based on the method of structural equation modelling (SEM), which allowed for exploring the cause-and-effect relationships between risk changes and digital risk management for companies during the COVID-19 crisis. As a result, based on the SEM model, it was proven that risks for companies during the COVID-19 crisis only slightly increased compared with that at the pre-crisis level. It was determined that companies faced large risks during the COVID-19 crisis in developed countries. It was discovered that, due to successful adaptation, risk management of companies assuaged the manifestations of the COVID-19 crisis in the economy. The key conclusion is that, under the conditions of a crisis of a non-economic nature (e.g., the COVID-19 crisis), companies independently and successfully manage their risks with the help of measures of digitalisation: corporate risk management with the limitation of state intervention is preferable. The contribution to the literature consists of the development of the concept of risks for companies by clarifying the specifics of risks and risk management of companies during the COVID-19 crisis. The theoretical significance lies in the fact that the authors’ conclusions rethought the risks for companies under the conditions of a crisis given the special context of a crisis of a non-economic nature (via the example of the COVID-19 crisis). The practical significance is that the developed novel approach to risk management of companies through digitalisation, which is based on the experience of the COVID-19 crisis, will be useful for risk management of companies under the conditions of future crises of non-economic nature caused by epidemics/pandemics and/or environmental disasters.

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