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

Mynhardt, R.H., Plastun, A., Makarenko, I., 2014 "Behavior of financial markets efficiency during the financial market crisis: 2007 - 2009" Corporate Ownership and Control, 2014, 11 (2 F) , pp. 531-546

17 Pages Posted: 27 Sep 2014 Last revised: 20 Dec 2014

See all articles by Oleksiy Plastun

Oleksiy Plastun

Sumy State University

Inna Makarenko

National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine

Ronald Mynhardt

University of South Africa

Date Written: September 25, 2014

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.

Keywords: Persistence, R/S Analysis, Hurst exponent, Fractal market Hypothesis, efficiency of financial market.

JEL Classification: G14

Suggested Citation

Plastun, Oleksiy and Makarenko, Inna and Mynhardt, Ronald, Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009 (September 25, 2014). Mynhardt, R.H., Plastun, A., Makarenko, I., 2014 "Behavior of financial markets efficiency during the financial market crisis: 2007 - 2009" Corporate Ownership and Control, 2014, 11 (2 F) , pp. 531-546. Available at SSRN: https://ssrn.com/abstract=2501414

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

Inna Makarenko

National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine

57, Petropavlivska str.
Sumy, 40030
Ukraine

Ronald Mynhardt

University of South Africa ( email )

P.O. Box 392
UNISA
Pretoria, Gauteng 0003
South Africa

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