Impact of the Local and Global Crisis on Stock Market Efficiency

IF 1.3 Q1 AREA STUDIES

Millennial Asia Pub Date : 2023-05-19 DOI:10.1177/09763996221149646

M. Bhatia

{"title":"Impact of the Local and Global Crisis on Stock Market Efficiency","authors":"M. Bhatia","doi":"10.1177/09763996221149646","DOIUrl":null,"url":null,"abstract":"The study examines the evolution of the stock market efficiency of Indian banks during the period from 1 January 2007 to 30 June 2022. The study also seeks to investigate the degree of the impact of the different crises on the stock market efficiency in response to three major events: the global financial crisis, the local banking crisis and the pandemic crisis. For this, the wild bootstrap automatic variance ratio (WBAVR) test is applied using the rolling window method to account for the implications of the adaptive market hypothesis (AMH). For the robustness of the analysis, the study applies the automatic portmanteau (AQ) test, which is also based on a data-driven procedure. The findings show that the market efficiency of Indian banks is not an all-or-nothing phenomenon; rather, both efficiency and inefficiency co-exist simultaneously, with the Central Bank of India noted to be the most ‘inefficient’ bank. The findings demonstrate that market efficiency is ‘context-dependent’, that is, the stock market efficiency significantly alters in response to black-swan events happening in the economy. The study sheds light on the degree of the impact of different events on market efficiency, and it is shown that the internal crisis of the industry of high NPAs has a far greater impact on market efficiency compared to the global financial and pandemic crises. This research may assist policymakers in developing a comprehensive strategy to enhance the stock market efficiency of Indian banks in the face of such local and global crises.","PeriodicalId":41791,"journal":{"name":"Millennial Asia","volume":" ","pages":""},"PeriodicalIF":1.3000,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Millennial Asia","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/09763996221149646","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"AREA STUDIES","Score":null,"Total":0}

引用次数: 0

Abstract

The study examines the evolution of the stock market efficiency of Indian banks during the period from 1 January 2007 to 30 June 2022. The study also seeks to investigate the degree of the impact of the different crises on the stock market efficiency in response to three major events: the global financial crisis, the local banking crisis and the pandemic crisis. For this, the wild bootstrap automatic variance ratio (WBAVR) test is applied using the rolling window method to account for the implications of the adaptive market hypothesis (AMH). For the robustness of the analysis, the study applies the automatic portmanteau (AQ) test, which is also based on a data-driven procedure. The findings show that the market efficiency of Indian banks is not an all-or-nothing phenomenon; rather, both efficiency and inefficiency co-exist simultaneously, with the Central Bank of India noted to be the most ‘inefficient’ bank. The findings demonstrate that market efficiency is ‘context-dependent’, that is, the stock market efficiency significantly alters in response to black-swan events happening in the economy. The study sheds light on the degree of the impact of different events on market efficiency, and it is shown that the internal crisis of the industry of high NPAs has a far greater impact on market efficiency compared to the global financial and pandemic crises. This research may assist policymakers in developing a comprehensive strategy to enhance the stock market efficiency of Indian banks in the face of such local and global crises.

查看原文本刊更多论文

地方性和全球性危机对股票市场效率的影响

该研究考察了2007年1月1日至2022年6月30日期间印度银行股票市场效率的演变。该研究还试图调查不同危机对股市效率的影响程度，以应对三大事件：全球金融危机、地方银行危机和疫情危机。为此，使用滚动窗口方法应用野生自举自动方差比（WBAVR）检验来解释自适应市场假说（AMH）的含义。为了分析的稳健性，本研究应用了自动组合（AQ）测试，该测试也基于数据驱动程序。研究结果表明，印度银行的市场效率不是一种要么全有要么全无的现象；相反，效率和低效同时存在，印度中央银行被认为是最“低效”的银行。研究结果表明，市场效率是“上下文相关的”，即股市效率随着经济中发生的黑天鹅事件而显著变化。该研究揭示了不同事件对市场效率的影响程度，结果表明，与全球金融危机和疫情危机相比，高NPA行业的内部危机对市场效率产生的影响要大得多。这项研究可能有助于决策者制定一项全面的战略，以提高印度银行在面对此类地方和全球危机时的股票市场效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Millennial Asia AREA STUDIES-

CiteScore

4.50

自引率

12.50%

发文量

期刊介绍： Millennial Asia: An International Journal of Asian Studies is a multidisciplinary, refereed biannual journal of the Association of Asia Scholars (AAS)–an association of the alumni of the Asian Scholarship Foundation (ASF). It aims to encourage multifaceted, multidisciplinary and interdisciplinary research on Asia, in order to understand its fast changing context as a growth pole of global economy. By providing a forum for Asian scholars situated globally, it promotes dialogue between the global academic community, civil society and policy makers on Asian issues. The journal examines Asia on a regional and comparative basis, emphasizing patterns and tendencies that go beyond national borders and are globally relevant. Modern and contemporary Asia has witnessed dynamic transformations in cultures, societies, economies and political institutions, among others. It confronts issues of collective identity formation, ecological crisis, rapid economic change and resurgence of religion and communal identifies while embracing globalization. An analysis of past experiences can help produce a deeper understanding of contemporary change. In particular, the journal is interested in locating contemporary changes within a historical perspective, through the use of interdisciplinary and multidisciplinary approaches. This way, it hopes to promote comparative studies involving Asia’s various regions. The journal brings out both thematic and general issues and the thrust areas are: Asian integration, Asian economies, sociology, culture, politics, governance, security, development issues, arts and literature and any other such issue as the editorial board may deem fit. The core fields include development encompassing agriculture, industry, regional trade, social sectors like health and education and development policy across the region and in specific countries in a comparative perspective.