Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009

Mynhardt, H. R. and Plastun, Alex and Makarenko, Inna (2014): Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009. Published in: Corporate Ownership and Control , Vol. 11, No. 2 (2014): pp. 531-546.

Abstract

This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis we show the reasons of inefficiency of financial markets and provide some recommendations on their solution and thus improving the efficiency.

• Item Type: MPRA Paper
• Language: English
• Keywords: Persistence, R/S Analysis, Hurst exponent, Fractal market Hypothesis, efficiency of financial market.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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