Crisis, Resilience, and Stock Market Efficiency: Evidence from Asian Emerging Economies During COVID-19

This study explores the effects of the COVID-19 pandemic on stock market efficiency in nine Asian emerging markets—China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Taiwan, and Thailand—between 2019 and 2021. We use daily index data to apply the wild bootstrap automatic variance ratio (WBAVR) and automatic portmanteau (AQ) tests within a rolling-window framework to measure the extent and duration of efficiency changes during the crisis. We document heterogeneous departures from efficiency, with severe and persistent inefficiency in the Philippines, Korea, Malaysia, and Thailand, episodic deterioration in Indonesia, mixed evidence in China, and negligible or reversed disruption in India, Pakistan, and Taiwan. Panel regressions reveal that efficiency deterioration is associated with containment policy stringency and exchange rate depreciation, while rising cumulative case counts are associated with higher efficiency, consistent with adaptive investor behavior as the pandemic progressed. We conclude that weak-form efficiency is a time-varying and a policy-sensitive property in emerging markets, and our findings offer practical insights for investors and policymakers operating in these environments during systemic crises.