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The impact of volatility shifts on market efficiency : the case of four emerging southeast Asian stock markets

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dc.contributor.author Tan, Hui-Boon
dc.contributor.author Wong, M.-F.
dc.contributor.author Elshareif, Elgilani Eltahir
dc.date.accessioned 2020-01-27T05:15:11Z
dc.date.available 2020-01-27T05:15:11Z
dc.date.copyright 2015 en_US
dc.date.issued 2015
dc.identifier.citation Tan, H.-B., Wong, M.-F., & Elshareif, E. E. (2015). The impact of volatility shifts on market efficiency: The case of four emerging southeast Asian stock markets. Global Business and Economics Review, 17(2), 203–216. https://doi.org/10.1504/GBER.2015.068568 en_US
dc.identifier.issn 10974954
dc.identifier.uri http://dx.doi.org/10.1504/GBER.2015.068568
dc.identifier.uri http://hdl.handle.net/20.500.12519/38
dc.description This article is not available at CUD collection. The version of scholarly record of this Article is published in Global Business and Economics Review (2015), available online at: https://doi.org/10.1504/GBER.2015.068568. en_US
dc.description.abstract The purpose of this paper is to analyse the behaviour of four Southeast Asian stock markets during the intervals of high uncertainties that accompany crises. Our analysis emphasises the effect of unexpected volatility shifts on market efficiency of the four emerging Southeast Asian markets over the past two decades. The purpose of this study is achieved through the iterated-cumulative-sum-of-squares-in-volatility (ICSS-EGARCH-M) model, a new approach in market efficiency studies. The empirical results of this study support rejection of the efficient market hypothesis for these markets, even when unexpected volatility shifts are integrated in the models. The results also provide significant empirical evidence for a positive risk-return tradeoff in the stock markets. Moreover, the stock markets are revealed to be more sensitive to global events than local. Except for the Philippines, asymmetrical responses to good and bad news are also part of the market behaviour for the markets. Copyright © 2015 Inderscience Enterprises Ltd. en_US
dc.language.iso en en_US
dc.publisher Inderscience Enterprises Ltd. en_US
dc.relation Authors Affiliations: Tan, H.-B., Nottingham University Business School, University of Nottingham Malaysia Campus, Jalan Broga, Semenyih, Selangor Darul Ehsan, 43500, Malaysia; Wong, M.-F., Department of Finance, Faculty of Accountancy,Finance and Business, Tunku Abdul Rahman University College, Jalan Genting Kelang, Setapak, Kuala Lumpur, 53300, Malaysia; Elshareif, E.E., Department of Finance, School of Graduate Studies, Canadian University of Dubai, Sheikh Zayed Rd., Dubai, United Arab Emirates
dc.relation.ispartofseries Global Business and Economics Review;Vol. 17, no. 2
dc.rights Permission to reuse the abstract has been secured from Inderscience Enterprises Ltd.
dc.subject Efficiency en_US
dc.subject EGARCH-M en_US
dc.subject ICSS algorithm en_US
dc.subject Southeast asian stock markets en_US
dc.subject Volatility en_US
dc.title The impact of volatility shifts on market efficiency : the case of four emerging southeast Asian stock markets en_US
dc.type Article en_US
dc.rights.holder Copyright : 2015 Inderscience Enterprises Ltd.


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