Information Efficiency and Anomalies in Asian Equity Markets: Theories and Evidence

ISBN-13: 9780367595920 / Angielski / Miękka / 2020 / 254 str.

Qaiser Munir; Sook Ching Kok

Opis

The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in a stock price and that an investor will obtain an equilibrium rate of return. This has far reaching implications in terms of capital allocation, stock price predictability, as well as the possibility of any profitable trading strat

Spis treści

1. Equity Market Informational Efficiency: History and Development (Qaiser Munir and Sook Ching Kok)

2. Equity Market Anomalies: Concepts, Classifications, Theories and Evidence (Qaiser Munir and Sook Ching Kok)

3. The Random-walk Hypothesis on the Small and Medium Capitalized Segment of the Indian Stock Market (Vinod Mishra and Russell Smyth)

4. Stock Market Index Price Prediction Using Predetermined Variables: A Case Study of Malaysia (Qaiser Munir and Sook Ching Kok)

5. A Reexamination on the Calendar Anomalies during Asian Financial Crisis: Some Empirical Evidence from Closure Test Principle and EGARCH-Mean Model (Ricky Chee-Jiun Chia and Shiok Ye Lim)

6. Mean Reversion Effect and Contrarian Strategy (Tamara Teplova and Evgenya Mikova)

7. Momentum Effect: Pricing Paradox or New Beta Strategy (Tamara Teplova and Evgenya Mikova)

8. Momentum Returns, Market States, and Financial Crisis: Evidence from China and Hong Kong (Muhammad A. Cheema and Gilbert V. Nartea)

9. The Profitability of Technical Trading Rules: Empirical Application on Asian Stock Markets (Andrei Anghel and Cristiana Tudor)

10. Technical Trading and Market Efficiency in Asian Equity Markets (Piyapas Tharavanij)

11. Testing for Semi-strong Efficiency under Stressed Market Conditions: A Comparative Focus on Asia, Europe and USA (Massimiliano Serati and Arianna Ziliotto)

12. Technical and Efficiency and Stock Performance of Listed Commercial Banks in ASEAN-5 (Sok-Gee Chan)

13. Asymmetric Effect of Political Elections on the Stock Returns and Volatility in Malaysia (Hooi Hooi Lean and Geok Peng Yeap)

O autorze

Qaiser Munir is an associate professor in the Faculty of Business, Economics and Accountancy at Universiti Malaysia Sabah, Malaysia. He has been an academic in the applied economics discipline for over eight years. Since 2008, he has worked on various projects and consultancies, including projects funded by the Ministry of Higher Education, Malaysia. His research interests include applied economics, financial economics, development economics, and applied econometrics. Dr. Munir is presently serving as chief editor of the Malaysian Journal of Business and Economics and has reviewed a number of articles for the Economic Bulletin, the Journal of Economic Studies and other academic journals. He has won numerous excellence awards for teaching during his career.

Sook Ching Kok is a senior lecturer and PhD candidate at the Faculty of Business, Economics and Accountancy at Universiti Malaysia Sabah, Malaysia. Her main research interest is in financial economics. She has worked on various projects, including those funded by the Ministry of Higher Education, Malaysia.