Impact of the crises on the efficiency of the financial market: evidence from the SDM

2.50
Hdl Handle:
http://hdl.handle.net/10547/565811
Title:
Impact of the crises on the efficiency of the financial market: evidence from the SDM
Authors:
Fakhry, Bachar
Abstract:
The efficient market hypothesis has been around since 1962, the theory based on a simple rule that states the price of any asset must fully reflect all available information. Yet there is empirical evidence suggesting that markets are too volatile to be efficient. In essence, this evidence seems to suggest that the reaction of the market participants to the information or events that is the crucial factor, rather than the actual information. This highlights the need to include the behavioural finance theory in the pricing of assets. Essentially, the research aims to analyse the efficiency of six key sovereign debt markets during a period of changing volatility including the recent global financial and sovereign debt crises. We analyse the markets in the pre-crisis period and during the financial and sovereign debt crises to determine the impact of the crises on the efficiency of these financial markets. We use two GARCH-based variance bound tests to test the null hypothesis of the market being too volatile to be efficient. Proposing a GJR-GARCH variant of the variance bound test to account for variation in the asymmetrical effect. This leads to an analysis of the changing behaviour of price volatility to identify what makes the market efficient or inefficient. In general, our EMH tests resulted in mixed results, hinting at the acceptance of the null hypothesis of the market being too volatile to be efficient. However, interestingly a number of 2017 observations under both models seem to be hinting at the rejection of the null hypothesis. Furthermore, our proposed GJR-GARCH variant of the variance bound test seems to be more likely to accept the EMH than the GARCH variant of the test. Key words: Efficient Market Hypothesis, Behavioural Finance Theory, Volatility Tests, GJR, GARCH, EGARCH-M, SWARCH, Sovereign Debt Market, Crise
Citation:
Fakhry, B. (2015) 'Impact of the Crises on the Efficiency of the Financial Market: Evidence from the SDM'. PhD thesis. University of Bedfordshire.
Publisher:
University of Bedfordshire
Issue Date:
Jul-2015
URI:
http://hdl.handle.net/10547/565811
Type:
Thesis or dissertation
Language:
en
Description:
A thesis submitted to the University of Bedfordshire in partial fulfilment of the requirements for the degree of Doctor of Philosophy
Appears in Collections:
PhD e-theses

Full metadata record

DC FieldValue Language
dc.contributor.authorFakhry, Bacharen
dc.date.accessioned2015-08-11T09:55:12Zen
dc.date.available2015-08-11T09:55:12Zen
dc.date.issued2015-07en
dc.identifier.citationFakhry, B. (2015) 'Impact of the Crises on the Efficiency of the Financial Market: Evidence from the SDM'. PhD thesis. University of Bedfordshire.en
dc.identifier.urihttp://hdl.handle.net/10547/565811en
dc.descriptionA thesis submitted to the University of Bedfordshire in partial fulfilment of the requirements for the degree of Doctor of Philosophyen
dc.description.abstractThe efficient market hypothesis has been around since 1962, the theory based on a simple rule that states the price of any asset must fully reflect all available information. Yet there is empirical evidence suggesting that markets are too volatile to be efficient. In essence, this evidence seems to suggest that the reaction of the market participants to the information or events that is the crucial factor, rather than the actual information. This highlights the need to include the behavioural finance theory in the pricing of assets. Essentially, the research aims to analyse the efficiency of six key sovereign debt markets during a period of changing volatility including the recent global financial and sovereign debt crises. We analyse the markets in the pre-crisis period and during the financial and sovereign debt crises to determine the impact of the crises on the efficiency of these financial markets. We use two GARCH-based variance bound tests to test the null hypothesis of the market being too volatile to be efficient. Proposing a GJR-GARCH variant of the variance bound test to account for variation in the asymmetrical effect. This leads to an analysis of the changing behaviour of price volatility to identify what makes the market efficient or inefficient. In general, our EMH tests resulted in mixed results, hinting at the acceptance of the null hypothesis of the market being too volatile to be efficient. However, interestingly a number of 2017 observations under both models seem to be hinting at the rejection of the null hypothesis. Furthermore, our proposed GJR-GARCH variant of the variance bound test seems to be more likely to accept the EMH than the GARCH variant of the test. Key words: Efficient Market Hypothesis, Behavioural Finance Theory, Volatility Tests, GJR, GARCH, EGARCH-M, SWARCH, Sovereign Debt Market, Criseen
dc.language.isoenen
dc.publisherUniversity of Bedfordshireen
dc.subjectefficient market hypothesisen
dc.subjectbehavioural finance theoryen
dc.subjectvolatility testsen
dc.subjectGJRen
dc.subjectGARCHen
dc.subjectEGARCH-Men
dc.subjectSWARCHen
dc.subjectsovereign debt marketen
dc.subjectcrisisen
dc.subjectL111 Financial Economicsen
dc.titleImpact of the crises on the efficiency of the financial market: evidence from the SDMen
dc.typeThesis or dissertationen
dc.type.qualificationnamePhDen_GB
dc.type.qualificationlevelPhDen
dc.publisher.institutionUniversity of Bedfordshireen
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