The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH.
This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
1. Equity Market Informational Efficiency: History and Development (Qaiser Munir and Sook Ching Kok)
2. Equity Market Anomalies: Concepts, Classifications, Theories and Evidence (Qaiser Munir and Sook Ching Kok)
3. The Random-walk Hypothesis on the Small and Medium Capitalized Segment of the Indian Stock Market (Vinod Mishra and Russell Smyth)
4. Stock Market Index Price Prediction Using Predetermined Variables: A Case Study of Malaysia (Qaiser Munir and Sook Ching Kok)
5. A Reexamination on the Calendar Anomalies during Asian Financial Crisis: Some Empirical Evidence from Closure Test Principle and EGARCH-Mean Model (Ricky Chee-Jiun Chia and Shiok Ye Lim)
6. Mean Reversion Effect and Contrarian Strategy (Tamara Teplova and Evgenya Mikova)
7. Momentum Effect: Pricing Paradox or New Beta Strategy (Tamara Teplova and Evgenya Mikova)
8. Momentum Returns, Market States, and Financial Crisis: Evidence from China and Hong Kong (Muhammad A. Cheema and Gilbert V. Nartea)
9. The Profitability of Technical Trading Rules: Empirical Application on Asian Stock Markets (Andrei Anghel and Cristiana Tudor)
10. Technical Trading and Market Efficiency in Asian Equity Markets (Piyapas Tharavanij)
11. Testing for Semi-strong Efficiency under Stressed Market Conditions: A Comparative Focus on Asia, Europe and USA (Massimiliano Serati and Arianna Ziliotto)
12. Technical and Efficiency and Stock Performance of Listed Commercial Banks in ASEAN-5 (Sok-Gee Chan)
13. Asymmetric Effect of Political Elections on the Stock Returns and Volatility in Malaysia (Hooi Hooi Lean and Geok Peng Yeap)