Systematic Literature Review of Market Efficiency in Developing Countries
DOI:
https://doi.org/10.54471/muhasabatuna.v7i1.3577Keywords:
Market Efficiency, Emerging Markets, Developing Countries, Financial MarketsAbstract
This study aims to examine market efficiency in developing countries through the Systematic Literature Review (SLR) approach by reviewing 30 scientific articles based on Scopus data and published in the last ten years (2015–2025). Market efficiency is an important concept in modern finance that reflects the extent to which asset prices reflect available information. The results of the study indicate that developing country markets generally have not achieved overall efficiency, either in weak-form or semi-strong form, and are still colored by various market anomalies such as price predictability, seasonal effects, and information asymmetry. This study identifies five main groups of determinants that influence market efficiency, namely market microstructure factors, institutions and regulations, company financial characteristics, macroeconomic dynamics and crises, and investor behavior. These findings emphasize that market efficiency in developing countries is partial, dynamic, and highly influenced by local structural and institutional conditions. The practical implications of these results can be the basis for formulating policies to improve transparency, information quality, and market governance in order to achieve more optimal and sustainable efficiency.
Downloads
References
Ahmed, F. (2021). Assessment of Capital Market Efficiency in COVID-19. European Journal of Business and Management Research, 6(3), 42–46.
Alhassan, & Ohene, A. (2016). Competition and Bank Efficiency: Ghana. African Journal of Economic and Management Studies.
Arashi, M., & Rounaghi, M. M. (2022). Analysis of market efficiency and fractal feature of NASDAQ stock exchange : Time series modeling and forecasting of stock index using ARMA GARCH model. Future Business Journal, 8(1), 1–12. https://doi.org/10.1186/s43093-022-00125-9.
Arjoon, V. (2016). Microstructures , financial reforms and informational efficiency in an emerging market. Research in International Business and Finance, 36, 112–126. https://doi.org/10.1016/j.ribaf.2015.09.016.
Balladares, K., Ramos-Requena, J. P., Trinidad-Segovia, J. E., & Sánchez-Granero, M. A. (2021). Statistical arbitrage in emerging markets: A global test of efficiency. Mathematics, 9(2), 1–20. https://doi.org/10.3390/math9020179.
Bira, F. R. (2013). Emerging capital market efficiency : a comparative analysis of weak-form efficiency in Romania and Hungary in the context of the global financial crisis. AI & Soc. https://doi.org/10.1007/s00146-013-0505-8.
Budiarso, N. S., & Pontoh, W. (2022). Market efficiency and global issues : A case of Indonesia. Investment Management and Financial Innovations, 19(4). https://doi.org/10.21511/imfi.19(4).2022.01.
Demirbag, M., McGuinness, M., Akin, A., Bayyurt, N., & Basti, E. (2016). The professional service firm (PSF) in a globalised economy: A study of the efficiency of securities firms in an emerging market. International Business Review, 25(5), 1089–1102. https://doi.org/10.1016/j.ibusrev.2016.01.001.
Eduah, N., Debrah, G., Aidoo, E. K., & Mettle, F. O. (2024). Comparative analysis of stochastic seasonality, January effect and market efficiency between emerging and industrialized markets. Heliyon, 10(7), e28301. https://doi.org/10.1016/j.heliyon.2024.e28301.
Fama, E. F. (1970). Efficient Capital Markets: A Review Of Theory and Empirical Work. Journal Of Finance, 383–417.
Fu, Z., Niu, H., & Wang, W. (2023). Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis. Computational Economics, 62(3), 1287–1311.
Galindo-manrique, A. F., & Esteban, P. (2021). Eco-Efficiency and Stock Market Volatility : Emerging Markets Analysis. Administrative Sciences, 11(2).
Gardijan Kedžo, M., & Tuškan Sjauš, B. (2021). The Efficiency Analysis of Large Banks Using the Bootstrap and Fuzzy DEA: A Case of an Emerging Market. Information (Switzerland), 12(12). https://doi.org/10.3390/info12120507.
Gyan, A. K., Brahmana, R., & Abdul, K. B. (2017). Diversification Strategy, Efficiency, and Firm Performance: Insight from Emerging Market. Research in International Business and Finance. https://doi.org/10.1016/j.ribaf.2017.07.045.
Hammed, Y. S., & Salisu, A. A. (2023). Technology Shocks and the Efficiency of Equity Markets in the Developed and Emerging Economies : A Global VAR Approach. Risk and Financial Management, 16(3).
Isik, I., & Uygur, O. (2021). Financial crises, bank efficiency and survival: Theory, literature and emerging market evidence evidence. In International Review of Economics and Finance. Elsevier Inc. https://doi.org/10.1016/j.iref.2021.07.016.
Jiang, J., Richards, J., Huser, R., & Bolin, D. (2024). The Efficient Tail Hypothesis : An Extreme Value Perspective on Market Efficiency. Finance Research Letters.
Jourdan, Z., Corley, J. K., Valentine, R., & Tran, A. M. (2023). Fintech : A content analysis of the finance and information systems literature. Electronic Markets, April. https://doi.org/10.1007/s12525-023-00624-9.
Junaid, M. T., Juliana, A., Marchella, J., & Muh, L. (2021). Studi Empiris Perusahaan Transportasi Di Bursa Efek Indonesia Pada Masa Pandemi Covid-19. Jurnal Akuntansi Keuangan Dan Bisnis, 14(2), 201–210.
Karasinski, J. (2020). The Changing Efficiency of the European Stock Markets. Oeconomia, 1, 41–51. https://doi.org/10.17951/h.2020.54.1.41-51
Khalid, R. U., Jajja, M. S. S., Beske-Janssen, P., & Neutzling, D. M. (2022). Editorial: Impact of technology on supply chains in emerging and informal markets. International Journal of Logistics Management, 33(3), 997–1000.
Le, H. T. M., Lai, C. P., Phan, V. H., & Pham, V. T. (2024). Financial reporting quality and investment efficiency in manufacturing firms: The role of firm characteristics in an emerging market. Journal of Competitiveness, 16(1), 62–78. https://doi.org/10.7441/joc.2024.01.04.
Le, T. D. Q., Ho, T. N. T., Nguyen, D. T., & Ngo, T. (2022). Intellectual capital–bank efficiency nexus: evidence from an emerging market. Cogent Economics and Finance, 10(1). https://doi.org/10.1080/23322039.2022.2127485.
Lekhal, M., & El, A. (2020). Does the Adaptive Market Hypothesis explain the evolution of emerging markets ef fi ciency ? Evidence from the Moroccan fi nancial market. Heliyon, 6(December 2019), e04429. https://doi.org/10.1016/j.heliyon.2020.e04429.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Anita, Ulfanita Arsyam, Aini Indrijawati, Muhammad Irdam Ferdiansah
This work is licensed under a Creative Commons Attribution 4.0 International License.
