The role of information and communication technology (internet penetration) on Asian stock market efficiency: Evidence from quantile‐on‐quantile cointegration and causality approach

The objective of the study is to evaluate the long‐run and causal relationship between information and communication technology (ICT) and Asian stock market efficiency by using quantile‐on‐quantile cointegration and causality approach, which analysed the different slope coefficients at median and the lower tails of conditional quantiles distribution. The study selected 10 Asian countries that experienced massive capital flows and e‐financing to verify efficient market hypothesis. The study utilizing a monthly time series data ranging from 2000 M01 to 2016 M12, where pre‐ and post‐global financial crisis time period is certainly induced, which affected through trade and financial channels in many Asian countries. The results confirmed the positive linkages between stock market efficiency and internet use in the 8 Asian countries while this result is averted in the two Asian countries (i.e., China and Russia) in a given time period. The heterogeneity between the countries in the stock‐ICT nexus could be endorsed to the multiple factors that need to be included in the multivariate framework.