Time-varying global financial market inefficiency: an instance of pre-, during, and post-subprime crisis

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• 作者：Rahul Roy ; Shijin Santhakumar
• 关键词：Time ; varying VAR model ; ARCH ; GARCH ; Subprime crisis ; Time ; varying global financial market inefficiency ; Market dynamics ; C32 ; C51 ; G14 ; F15
• 刊名：DECISION
• 出版年：2014
• 出版时间：December 2014
• 年：2014
• 卷：41
• 期：4
• 页码：449-488
• 全文大小：
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• 作者单位：Rahul Roy (1)
  Shijin Santhakumar (1)
  
  1. Department of Commerce, School of Management, Pondicherry University, Pondicherry, 605014, India
  
• 刊物类别：Management/Business for Professionals;
• 刊物主题：Management/Business for Professionals;
• 出版者：Springer India
• ISSN：2197-1722

文摘

The informational efficiency is the central backdrop among researchers in the quest of behavioural finance since Fama (J Financ 25:383鈥?17, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the liberalization鈥損rivatization鈥揼lobalization played the role of catalyst to form the global stock market convergence. Predominantly, the financial liberalization in the foreign policies over the last two decades enabled the institutional and rational investors to diversify their risk through holding different classes of asset, forming the portfolio. However, the availability of investment opportunity sets to investor in two stock markets subsequently results in portfolio diversification, and hence arbitrage occurs simultaneously across the two markets (Ito et al., Appl Financ 46(23):2744鈥?754, 2014). The country risk premium and world risk premium in segmented market and integrated market concurrently vary, and thus it is perceivable to examine the joint efficiency among the various stock markets when markets are highly integrated. This study aims to analyse the time-varying structure of world market dynamic linkages and the persistence of global financial market inefficiency present during an instance of subprime crisis. Keywords Time-varying VAR model ARCH GARCH Subprime crisis Time-varying global financial market inefficiency Market dynamics