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

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dc.contributor.authorTan, Hui-Boon
dc.contributor.authorWong, M.-F.
dc.contributor.authorElshareif, Elgilani
dc.date.accessioned2020-01-27T05:15:11Z
dc.date.available2020-01-27T05:15:11Z
dc.date.copyright2015en_US
dc.date.issued2015
dc.descriptionThis 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.abstractThe 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.identifier.citationTan, 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.2015.068568en_US
dc.identifier.issn10974954
dc.identifier.urihttp://dx.doi.org/10.1504/GBER.2015.068568
dc.identifier.urihttp://hdl.handle.net/20.500.12519/38
dc.language.isoenen_US
dc.publisherInderscience Enterprises Ltd.en_US
dc.relationAuthors 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.ispartofseriesGlobal Business and Economics Review;Vol. 17, no. 2
dc.rightsPermission to reuse the abstract has been secured from Inderscience Enterprises Ltd.
dc.rights.holderCopyright : 2015 Inderscience Enterprises Ltd.
dc.subjectEfficiencyen_US
dc.subjectEGARCH-Men_US
dc.subjectICSS algorithmen_US
dc.subjectSoutheast asian stock marketsen_US
dc.subjectVolatilityen_US
dc.titleThe impact of volatility shifts on market efficiency : the case of four emerging southeast Asian stock marketsen_US
dc.typeArticleen_US

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