Purpose – This paper investigates persistent stock market anomalies, liquidity patterns, volatility spillovers, governance quality, and macroeconomic shocks in emerging markets. The main objective is to provide a comprehensive synthesis of empirical evidence and propose an adaptive, multifactor framework that better captures the evolving dynamics of these markets. Methodology/approach – A systematic literature review methodology is applied, combining thematic analysis and comparative synthesis. Data is sourced from peer-reviewed articles, sectoral reports, and international databases. The review identifies major patterns, evaluates the consistency of empirical findings, and contextualizes results using triangulation with global market data. Findings – Market efficiency in emerging economies is found to be episodic and context-dependent. Size and value premiums persist, but their magnitude shifts with economic regimes, sectoral characteristics, and the presence of liquidity constraints or governance reforms. Novelty/value –Addressing the gap in cross-sector and multi-country research, this paper synthesizes findings from 22 peer-reviewed empirical studies, complemented by authoritative global data. The novelty lies in the construction of a holistic, adaptive framework that incorporates liquidity, volatility, governance, macro shocks, and behavioral biases—elements rarely examined together in the context of emerging markets.
Misran et al. (Wed,) studied this question.
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