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首页> 外文期刊>The European journal of finance >Financial crisis and market efficiency: evidence from European stock markets
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Financial crisis and market efficiency: evidence from European stock markets

机译：金融危机和市场效率：来自欧洲股市的证据

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摘要

This study examines market efficiency levels for the 16 European major stock markets in response to the 2018 financial crisis. Stochastic dominance is used to investigate the existence of four popular value premium (VP) indicators, including book-to-market, earnings-to-price, cash earnings-to-price and dividend-to-price ratios, so a total of 64 market-indicator observations are formed in the pre- and post-crisis periods, respectively. Stocks in the top (bottom) 30% of each indicator are defined as value (growth) portfolio, dubbed 30-40-30 splitting, and 20-60-20 and 10-80-10 partitions are also constructed in this study. Difference test shows that the ratio of the existence of the VP for each partition in the pre-crisis period is significantly higher than its corresponding partition in the post-crisis period, respectively, indicating that market efficiency levels are impacted by financial crisis. Next, difference test also shows that the ratio of the existence of the VP for 30-40-30 partition is significantly lower than that for 20-60-20 partition in the per- and post-crisis periods, respectively. However, the ratio of the existence of the VP between 20-60-20 and 10-80-10 partitions is not significantly different in the pre- and post-crisis periods, respectively.
机译：这项研究调查了应对2018年金融危机的16个欧洲主要股市的市场效率水平。随机优势度用于调查四个流行的价值溢价（VP）指标的存在，包括市账率，市盈率，现金市盈率和股息市盈率，因此共有64个市场指标观察分别在危机前和危机后形成。每个指标的顶部（底部）30％的股票被定义为价值（增长）投资组合，被称为30-40-30拆分，并且在此研究中还构建了20-60-20和10-80-10分区。差异检验表明，危机前每个分区的VP存在比率分别显着高于危机后时期相应分区的VP比率，表明市场效率水平受到金融危机的影响。接下来，差异测试还显示，在危机期间和危机后时期，30-40-30分区的VP存在比率分别显着低于20-60-20分区的VP。但是，在危机前和危机后时期，VP在20-60-20和10-80-10分区之间的存在比例分别没有显着差异。

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