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Information Efficiency In The U.S. And Shariah-Complaint Stocks In Malaysia During Covid-19

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  • Ooi Kok Loang

    (SEGi University, Malaysia)

Abstract

This study examines the impact of analysts’ forecast of market liquidity and information efficiency in the U.S (developed) and Malaysia (emerging – Shariah-compliant stocks) before and during COVID-19. The results show that the analysts’ forecast is significant to the market liquidity in the pre-COVID period but its influence diminishes during the COVID-19. Moreover, the impact of the analysts’ forecast is significant in the upper quantiles (0.7 and 0.9 quantiles) of the U.S market and in the lower quantiles (0.1 and 0.3 quantiles) of Malaysia's Islamic market. Similarly, the buy-sell recommendations in the U.S market and all variables forecasted are significant before COVID-19. Both markets become inefficient during COVID-19, and analysts’ forecast is no longer correlated to information efficiency. These results inform practitioners and investors to inspect the market conditions and investor's behavior under market stress such as COVID-19, which has disrupted the international financial markets.

Suggested Citation

  • Ooi Kok Loang, 2023. "Information Efficiency In The U.S. And Shariah-Complaint Stocks In Malaysia During Covid-19," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 9(3), pages 465-490, September.
    • Handle: RePEc:idn:jimfjn:v:9:y:2023:i:3e:p:465-490
    DOI: https://doi.org/10.21098/jimf.v9i3.1509
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    More about this item

    Keywords

    Analysts’ forecast; Market liquidity; Information efficiency; Investor behavior; COVID-19;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G4 - Financial Economics - - Behavioral Finance
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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