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Economies
Special Issues
Efficiency and Anomalies in Emerging Stock Markets
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Efficiency and Anomalies in Emerging Stock Markets

A special issue of Economies (ISSN 2227-7099). This special issue belongs to the section "Macroeconomics, Monetary Economics, and Financial Markets".

Deadline for manuscript submissions: 28 February 2025 | Viewed by 3110

Special Issue Editor

Dr. Baiding Hu

E-Mail Website
Guest Editor
Department of Global Value Chains and Trade, Lincoln University, Christchurch 7647, New Zealand
Interests: stock market volatility; industrial energy demand and supply; oil price; market spillover; technological progress
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

Stock market efficiency in emerging economies has attracted much attention in finance literature over the past decade. One of the most studied areas seems to test the predictability of stock market returns in the framework of a univariate time series analysis, aiming to reveal the level of stock market efficiency in emerging and developing economies. Research articles following that strand of literature are sought after in the present Special Issue. Given recent world-shaking events, such as COVID-19 and the Russia–Ukraine war, we are also keen on studies that evaluate the impact of such events on stock markets in emerging economies in terms of return and volatility anomalies and changes in market efficiency. Structural analyses on the nexus between stock market efficiency and the openness of the economy, as well as the degree of market integration and market efficiency, are welcome. 

Dr. Baiding Hu
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Economies is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • market efficiency
  • return anomaly
  • return predictability
  • events
  • market integration
  • information asymmetry
  • financial liberalization

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Published Papers (3 papers)

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Research

16 pages, 2393 KiB  
Article
Dynamics Between Foreign Portfolio Investment, Stock Price and Financial Development in South Africa: A SVAR Approach
by Kazeem Abimbola Sanusi and Zandri Dickason-Koekemoer
Economies 2025, 13(1), 8; https://doi.org/10.3390/economies13010008 - 3 Jan 2025
Viewed by 509
Abstract
The goal of this study is to look into the dynamic relationship between stock prices, foreign portfolio investment, and financial development in the South African economy. Federal Reserve Economic Data (FRED) provided quarterly time series data from 1960 (Q1) to 2024 (Q2). This [...] Read more.
The goal of this study is to look into the dynamic relationship between stock prices, foreign portfolio investment, and financial development in the South African economy. Federal Reserve Economic Data (FRED) provided quarterly time series data from 1960 (Q1) to 2024 (Q2). This study uses a structural VAR estimation approach and dynamic conditional correlation (DCC GARCH model). The DCC GARCH approach displays time-varying correlations between stock prices, credit given to the private sector as a measure of financial growth, and foreign portfolio investments. The dynamic links between stock prices, financial development, and foreign private investment (FPI) are examined using the SVAR technique. Our findings show that a financial development shock encourages and provokes a substantial influx of foreign portfolio investment into the South African economy. This suggests that overseas portfolio investments react favorably and notably well to favorable shocks in the financial development process. We suggest that a stable financial system framework and lower credit costs would strengthen the impact of higher stock prices on private sector credit and guarantee that higher stock prices have a beneficial impact on other financial development metrics. Better financial development metrics, such as credit to the private sector, will therefore increase foreign portfolio investment. Full article
(This article belongs to the Special Issue Efficiency and Anomalies in Emerging Stock Markets)
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23 pages, 997 KiB  
Article
Integration of the Indonesian Stock Market with Eight Major Trading Partners’ Stock Markets
by Endri Endri, Firman Fauzi and Maya Syafriana Effendi
Economies 2024, 12(12), 350; https://doi.org/10.3390/economies12120350 - 19 Dec 2024
Viewed by 1063
Abstract
This study investigates the integration of the Indonesian stock market with eight major trading partner countries, namely, China, Japan, the United States, Malaysia, India, Singapore, the Philippines, and South Korea. The analysis of the stock-market integration investigation includes the following two main things: [...] Read more.
This study investigates the integration of the Indonesian stock market with eight major trading partner countries, namely, China, Japan, the United States, Malaysia, India, Singapore, the Philippines, and South Korea. The analysis of the stock-market integration investigation includes the following two main things: short-term and long-term dynamic relationships within the Vector Autoregressive (VAR) model framework based on the unit root test, multivariate Johansen cointegration, and paired Granger causality test. The VAR model was analyzed using weekly closing index data of the Indonesian stock exchange and eight major trading partners from January 2013 to June 2024. The results of the study show that the integration of the Indonesian stock market with those of its main trading partners in the long term is relatively low. This finding implies that investors from the eight major trading partner countries can diversify their portfolios in international investments via the Indonesian stock market and vice versa. In the short term, these results prove that Indonesia’s stock markets and those of its major trading partners are integrated, excluding China. The Chinese stock market has become segmented and more attractive for Indonesian investors who want to benefit from diversification and vice versa. Furthermore, the Indonesian stock market has two-way causal relationships with the US, Japanese, Indian, and Singaporean stock markets. In addition, the Indonesian stock market has unidirectional reciprocal-lagged relationships with Malaysia and the Philippines. An essential contribution of this study is helping policymakers and, especially, international investors understand the dynamic relationships of the Indonesian stock market with its major trading partners. Furthermore, this study contributes to the development of empirical literature on the comovement of the Indonesian stock market and those of its major trading partners, as well as the stock markets of developing and developed countries. Full article
(This article belongs to the Special Issue Efficiency and Anomalies in Emerging Stock Markets)
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22 pages, 1389 KiB  
Article
Effect of Market-Wide Investor Sentiment on South African Government Bond Indices of Varying Maturities under Changing Market Conditions
by Fabian Moodley, Sune Ferreira-Schenk and Kago Matlhaku
Economies 2024, 12(10), 265; https://doi.org/10.3390/economies12100265 - 27 Sep 2024
Cited by 2 | Viewed by 1209
Abstract
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide investor sentiment on government bond index returns [...] Read more.
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide investor sentiment on government bond index returns of varying maturities under changing market conditions. This study constructs a new market-wide investor sentiment index for South Africa and uses the two-state Markov regime-switching model for the sample period 2007/03 to 2024/01. The findings illustrate that the effect investor sentiment has on government bond indices returns of varying maturities is regime-specific and time-varying. For instance, the 1–3-year government index return and the over-12-year government bond index were negatively affected by investor sentiment in a bull market condition and not in a bear market condition. Moreover, the bullish market condition prevailed among the returns of selected government bond indices of varying maturities. The findings suggest that the government bond market is adaptive, as proposed by AMH, and contains alternating efficiencies. The study contributes to the emerging market literature, which is limited. That being said, it uses market-wide investor sentiment as a tool to make pronunciations on asset selection, portfolio formulation, and portfolio diversification, which assists in limiting investor losses. Moreover, the findings of the study contribute to settling the debate surrounding the efficiency of bond markets and the effect between market-wide sentiment and bond index returns in South Africa. That being said, it is nonlinear, which is a better modelled using nonlinear models and alternates with market conditions, making the government bond market adaptive. Full article
(This article belongs to the Special Issue Efficiency and Anomalies in Emerging Stock Markets)
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