When the market becomes inefficient: Comparing BRIC markets with markets in the USA

Majumder, D. Dutta

doi:10.1016/j.irfa.2012.08.003

Cited by 25 publications

(12 citation statements)

References 45 publications

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“…Authors showed that there is an improvement in market efficiency over time. In a recent study, Majumder (2012) compared the stock market efficiencies of BRIC countries and US. Accordingly, The US markets which were efficient in the pre-global crisis period became more inefficient afterwards compared to BRIC markets.…”

Section: Long-range Dependence Analysis By Hurst Exponentmentioning

confidence: 99%

Dynamic efficiency of stock markets and exchange rates

Şensoy

Tabak

2016

International Review of Financial Analysis

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Section: Long-range Dependence Analysis By Hurst Exponentmentioning

confidence: 99%

Dynamic efficiency of stock markets and exchange rates

Şensoy

Tabak

2016

International Review of Financial Analysis

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“…Fourth, a pertinent issue observed in the context of emerging markets such as India is the violation of weak‐form efficiency in the stock markets. It is likely that in such markets, current stock returns are influenced by the past values (Dicle, Beyhan, & Yao, 2010; Majumder, 2012, 2013). Therefore, to verify the stability of our main findings, we introduce dynamism (past excess return) into the main specification and examine whether it alters the main results of the study, that is, the values of β 1 and β 2 .…”

Section: Resultsmentioning

confidence: 99%

Central bank's money market operations and daily stock returns

Chundakkadan

Sasidharan

2019

Int. J Fin Econ

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The objective of this paper is to examine the relationship between the central bank's daily money market operations in the form of Term Repo and Term Reverse Repo operations on stock returns using daily data. Unlike earlier studies, we use two new monetary measures, namely, Repo Spread and Reverse Repo Spread. Controlling for firm‐specific factors and time dummies and addressing endogeneity issue, we show that the central bank's money market operations have a significant effect on daily returns. Further, we also observe that the inclusion of these monetary variables improves the prediction of the stock returns.

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“…First, BRIC countries are regarded as the most advanced and powerful economies among developing countries and have been used in many studies conducted on emerging markets (Majumder, 2012;Lehkonen and Heimonen, 2014;Ratti and Vespignani, 2015).…”

Section: Methodsmentioning

confidence: 99%

Price Linkages Among Emerging Gold Futures Markets

Baklaci

Süer

Yelkenci

2018

Singapore Econ. Rev.

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The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.

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When the market becomes inefficient: Comparing BRIC markets with markets in the USA

Cited by 25 publications

References 45 publications

Dynamic efficiency of stock markets and exchange rates

Dynamic efficiency of stock markets and exchange rates

Central bank's money market operations and daily stock returns

Price Linkages Among Emerging Gold Futures Markets

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