| ID | 162537 |
| Title Proper | Understanding Market Inefficiency in the East Asian Region during Times of Crisis |
| Language | ENG |
| Author | Morales, Lucía |
| Summary / Abstract (Note) | The study of financial market efficiency has important implications in terms of global macroeconomic stability. The case of six selected East Asian stock markets (China, Japan, Hong Kong, Malaysia, Singapore and South Korea) during the Asian Financial Crisis (AFC) and Global Financial Crisis (GFC) is analysed here using a battery of well-known econometric techniques that starts with traditional unit root testing for random walk behaviour. The six countries were selected on the basis of market capitalization to offer insights into the behaviour of the most relevant markets in the region. The results show that during both crises, these markets exhibited significant inefficiencies. This is shown by the fact that positive correlations characterized markets returns behaviour in general, except for South Korea and Hong Kong, during the GFC. Of particular note is the case of China; its stock markets suffered losses and high volatility during the GFC and exhibited increasing correlations with other stock markets in the region, showing progressive levels of integration within the region and more exposure to global events. |
| `In' analytical Note | Journal of Southeast Asian Economies (ASEAN Economic Bulletin Change the Name ) Vol. 35, No.3; Dec 2018: p. 449-469 |
| Journal Source | Journal of Southeast Asian Economies (ASEAN Economic Bulletin Change the Name ) 2018-12 35, 3 |
| Key Words | East Asian Region ; Market Inefficiency |