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  Analyses of Market Efficiency in Various Security Markets during the Financial Crises

   Business School

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  Dr Seungho Lee, Dr Laura McCann  Applications accepted all year round  Self-Funded PhD Students Only

About the Project

Experiencing several consecutive unprecedented historical events, including the 2008 financial crisis, the diplomatic conflict between the U.S. and China, the COVID-19 pandemic, and the Russia-Ukraine War, the systematic risk of global security markets has increased dramatically. The amplified price volatility has been suspected of stimulating irrationality of market participants and has grown doubt about the validities of market stabilisation tools, such as short selling, derivatives, etc., implying that the efficiency of relevant markets could be negatively influenced. For example, Bessler & Vendrasco (2022) suggests that the market inefficiency has deteriorated in European stock markets during the COVID-19 period. The increased inefficiency of asset pricing during unusual events has also been observed in different assets. Naeem et al. (2021) suggest evidence of inefficiency in green and convertible bond markets during the COVID-19 period. Lee et al. (2020) argue that the extreme price volatilities cause inefficiency in cryptocurrency pricing.

The abovementioned examples imply that the issue of the increased possibility of arbitrage opportunities might not be limited to a specific stock market or asset. However, drawing inferences from the extant literature is difficult, as most relevant studies have been conducted for the U.S. and European stock markets, to the best of our knowledge. By analysing the market efficiency of other securities in various regions during the crisis periods, this project would provide meaningful takeaways and a comprehensive understanding of market efficiency factors for the market participant.

The successful applicant is expected to have (or be close to graduating with) an MSc in Finance or in a related area, e.g., an MSc in Economics, an MSc in Data Science, MBA, with prior knowledge of prediction. Applicants should have a strong interest or experience in data preparation and in the implementation of projects. The project requires excellent skills in statistic applications or programming (Eviews, Stata, Python, or R). Comprehensive knowledge in regulations in various stock markets is desirable.

The main objectives of the research in this study are to examine the existence of arbitrage opportunities during unusual events and to implement crosstab analysis and comparisons among them. The study will also explore drives for such differences and similarities among the relevant markets.

Applicants interested in this research project should submit a more detailed research proposal (of a maximum of 2,000 words) that develops some ideas and shows a comprehensive understanding of the existing literature and methodologies (e.g., Lee et al. (2020), Lee (2022) and Tran & Leirvik (2019)) based on the outline above.

Informal inquiries can be made to Dr Seungho Lee with a copy of your latest curriculum vitae and cover letter indicating your interest in the project and why you wish to undertake it. 

Computer Science (8) Finance (14)

Funding Notes

This PhD project has no funding attached and is therefore available to students (U.K./International) who are able to seek their own funding or sponsorship. Supervisors will not be able to respond to requests to source funding.


Bessler, W., & Vendrasco, M. (2022). Short-selling restrictions and financial stability in Europe: Evidence from the Covid-19 crisis. Journal of International Financial Markets, Institutions and Money, 80, 101612.
Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14(3), 319–338.
Lee, S. (2022). The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets. Journal of Asset Management, 23(2), 156–171.
Lee, S., Meslmani, N. E., & Switzer, L. N. (2020). Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets. Research in International Business and Finance, 53, 101200.
Naeem, M. A., Farid, S., Ferrer, R., & Shahzad, S. J. H. (2021). Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis. Energy Policy, 153, 112285.
Tran, V. L., & Leirvik, T. (2019). A simple but powerful measure of market efficiency. Finance Research Letters, 29, 141–151.

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