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

Author

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  • Hui-Boon Tan
  • Mei-Foong Wong
  • Elgilani Eltahir Elshareif

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.

Suggested Citation

  • Hui-Boon Tan & Mei-Foong Wong & Elgilani Eltahir Elshareif, 2015. "The impact of volatility shifts on market efficiency: the case of four emerging Southeast Asian stock markets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 17(2), pages 203-216.
    • Handle: RePEc:ids:gbusec:v:17:y:2015:i:2:p:203-216
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    Citations

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    Cited by:

    1. Rui Manuel Dias & Nuno Teixeira & Pedro Pardal & Teresa Godinho, 2023. "Volatility Transmission Between ASEAN-5 Stock Exchanges: An Approach in the Context of China's Stock Market Crash," International Journal of Corporate Finance and Accounting (IJCFA), IGI Global, vol. 10(1), pages 1-17, January.
    2. Mohammad Aladwan, 2018. "Accounting Measurement Revolution and Market Value," Modern Applied Science, Canadian Center of Science and Education, vol. 12(11), pages 279-279, November.

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