Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods

We examine the semi-strong form market efficiency level for the 12 major Asian markets with the stochastic dominance (SD) method during the financial crisis and non-financial crisis periods. Five famous value premium (VP) indicators, including book-to-market, cash flow-to-price, earnings-to-price, dividend-to-price, and sales-to-price ratios, are employed to examine the market efficiency during the two examination periods, respectively. The results of the SD test for performance between value (V) and growth (G) portfolios can be categorized into three sets: V = G (efficiency), V >= G (inefficiency, VP), and V <= G (inefficiency, reversal VP). Our main results show that the market efficiency or inefficiency level is not significantly different between the financial crisis and non-financial crisis periods. However, the evidence of further exploration of market inefficiency level shows that the different anomaly returns pattern exists in the two examination periods.