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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：本研究审查了16个欧洲主要股市的市场效率水平，以应对2018年金融危机。随机优势用于调查四个普遍价值溢价（副总裁）指标的存在，包括簿记市场，价格收益，现金收入 - 价格和股息到价格比率，共有64个市场指标观察分别在危机前期和危机后期形成。顶部（底部）的股30％的每个指标定义为价值（增长）产品组合，其中称为30-40-30分裂，20-60-20和10-80-10分区也在本研究中构建。差异测试表明，在危机前期间每个分区的VP的存在与危机后期相应的分区的比率分别显着高于其后期的相应分区，表明市场效率水平受到金融危机的影响。接下来，差异测试还表明，副总VP的存在与30-40-30分区的比率分别显着低于每次和危机后期的20-60-20分区。然而，在20-60-20-20-10-10分别之间的vp之间存在的比率分别在危机前和后期的时间内没有显着差异。

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