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A new measure for market efficiency and its application

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  • Jiang, Jinjin
  • Li, Haiqi

Abstract

This paper develops a new market efficiency measure to analyze the market efficiency dynamics over quantile levels. Moreover, the efficiency for the Chinese, Japanese, and U.S. stock markets is investigated using the newly proposed approach. Results reveal that Japanese and U.S. stock markets are efficient in the normal rather than the bull or bear market conditions, and Chinese stock market is inefficient over the entire quantile levels. In particular, the U.S. stock markets display smaller deviation from the efficiency for most periods.

Suggested Citation

  • Jiang, Jinjin & Li, Haiqi, 2020. "A new measure for market efficiency and its application," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930323x
    DOI: 10.1016/j.frl.2019.07.008
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    References listed on IDEAS

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    Cited by:

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    2. Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    3. S. Amir Tabibian & Zhaoyong Zhang & Abdollah Ah Mand, 2021. "Stock Split Rule Changes and Stock Liquidity: Evidence from Bursa Malaysia," JRFM, MDPI, vol. 14(9), pages 1-15, August.
    4. Oktay Ozkan, 2020. "Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 34(2), pages 101-113.
    5. Ailie Charteris & Conrad Alexander Steyn, 2023. "The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 225-240, May.
    6. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    7. Yang, Ann Shawing, 2023. "Regret sensitivity and stock certificate loss reporting: Evidence from Taiwan," Finance Research Letters, Elsevier, vol. 58(PA).

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    More about this item

    Keywords

    Adaptive market hypothesis; Quantile autoregressive model; Behavioral finance;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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