Patra Subhamitra, Hiremath Gourishankar S
VIT Business School, Vellore Institute of Technology, Chennai, India.
Department of Humanities and Social Sciences, Indian Institute of Technology Kharagpur, Kharagpur, India.
J Quant Econ. 2022;20(2):337-377. doi: 10.1007/s40953-022-00295-x. Epub 2022 May 6.
We measure stock market efficiency by drawing the comprehensive sample from Asia, Europe, Africa, North-South America, and Pacific Ocean regions and rank the cross-regional stock markets according to their level of informational efficiency. The study period spans from January 1, 1994, to August 3, 2017. We employ the approximate entropy approach and find that stock market efficiency evolves over the period. The degree and nature of evolution vary across regions and the development stage of the markets. The global, regional, domestic economic, and non-economic factors influence the adaptive nature of the stock markets. The emerging stock markets have improved efficiency by financial liberalization policy but are adversely affected by global shocks. The estimates validate the relevance of the adaptive market framework to describe the rejection of random walk without excess returns. The results suggest the growing presence of technical analysis and active portfolio managers. The emerging markets in Asia hold policy lessons for their peers. The findings suggest that global investors need to overcome the homogeneity bias as returns opportunities exist within the region and types of markets.
我们通过从亚洲、欧洲、非洲、南北美洲以及太平洋地区抽取综合样本，来衡量股票市场效率，并根据信息效率水平对跨区域股票市场进行排名。研究期间为1994年1月1日至2017年8月3日。我们采用近似熵方法，发现股票市场效率在该期间不断演变。演变的程度和性质因地区以及市场的发展阶段而异。全球、区域、国内经济和非经济因素影响着股票市场的适应性。新兴股票市场通过金融自由化政策提高了效率，但受到全球冲击的不利影响。这些估计结果验证了适应性市场框架在描述无超额回报情况下对随机游走的拒绝方面的相关性。结果表明技术分析和积极型投资组合经理的存在日益增加。亚洲的新兴市场为其他新兴市场提供了政策教训。研究结果表明，全球投资者需要克服同质性偏差，因为该地区和市场类型中存在回报机会。
