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1.
European Journal of Finance ; 2023.
Article in English | Web of Science | ID: covidwho-20242863

ABSTRACT

This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.

2.
JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS ; 9(5):41-51, 2022.
Article in English | Web of Science | ID: covidwho-1912203

ABSTRACT

The research looks into the impact of stock split announcements on stock prices and market efficiency in the Colombo Stock Exchange (CSE). This research uses a sample of 26 stock split announcements that occurred between 2020 and June 2021. According to the Global Industry Classification Standards, the stock split announcements covered in the study pertain to 26 businesses and 9 industries (GICS). To obtain the results, the usual event research methodology is used. The findings demonstrate significant average abnormal returns of 15.01 percent on the day the stock split news is made public and abnormal returns of 4.11 percent and -4.05 percent one day before and after the stock split announcement date, respectively. The study's findings revealed significant positive abnormal returns one day before the disclosure date, indicating information leakage, and significant negative abnormal returns the next day after the announcement date, indicating CSE informational efficiency. Because stock prices adapt so quickly to public information, these findings support the semi-strong form efficient market hypothesis, which states that investors cannot gain an abnormal return by trading in stocks on the day of the stock split announcement.

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