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How does crisis affect efficiency? An empirical study of East Asian markets
16 references·6 citing·47 second hop
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Evidence from new multiple variance ratio tests (2007)Are Asian stock markets effic…A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets (2006)A comparison of variance rati…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Cronyism and capital controls: evidence from Malaysia (2002)Cronyism and capital controls…Cronyism and Capital Controls: Evidence from Malaysia (2001)Cronyism and Capital Controls…Capital Market Liberalization, Economic Growth, and Instability (2000)Capital Market Liberalization…Return Behavior in Emerging Stock Markets (1995)Return Behavior in Emerging S…Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis (1972)Statistical Methodology for N…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Climate Risk and Stock Markets: Implications for Market Efficiency and Return Predictability (2023)Climate Risk and Stock Market…Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability (2023)Brazilian stock-market effici…Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries (2022)Correlations between the crud…Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19 (2022)Comparing the asymmetric effi…Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach (2021)Revisiting efficiency in MENA…Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak (2020)Evidence of Intraday Multifra…Fractional Differencing (1981)Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Revisiting detrended fluctuation analysis (2012)Detrended cross-correlation analysis consistently extended to multifractality (2014)Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces (2015)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Oil price shocks and stock market activity (1999)What is an Oil Shock? 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this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2002Cronyism and capital controls: evidence from Malaysia1,566 cited
  • 2000Capital Market Liberalization, Economic Growth, and Instability1,416 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 2010Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade498 cited
  • 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis438 cited
  • 2011Detrended cross-correlation analysis for non-stationary time series with periodic trends334 cited
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  • 2001Cronyism and Capital Controls: Evidence from Malaysia302 cited
  • 1995Return Behavior in Emerging Stock Markets256 cited
  • 2007Financial crisis and stock market efficiency: Empirical evidence from Asian countries255 cited
  • 2011African financial systems: A review

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248 cited
  • 2006A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets224 cited
  • Cited by

    • 2020Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak93 cited
    • 2022Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries69 cited
    • 2022Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-1961 cited
    • 2023Climate Risk and Stock Markets: Implications for Market Efficiency and Return Predictability34 cited
    • 2021Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach23 cited
    • 2023Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability22 cited