A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets

Rizvi, Syed Aun R. and Arshad, Shaista and Alam, Nafis,(2018), A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. , Emerging Markets Review, UNSPECIFIED

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The objective of this paper is to analyse the time-varying changes of the three parameters, volatility, efficiency and integration on stock markets across emerging markets. We do this using a four-step process with focus on Multifractal Detrended Fluctuation Analysis to measure its efficiency. Our analysis show that lower volatility was found in short-term for countries that experienced fast paced economic growth. This increase in volatility is supported by a decrease in efficiency for the short-term, while market integration rose during periods of crises, which represent higher volatility. Hence, a tripartite relationship between our parameters is observed
Keywords : Emerging markets, Decomposed returns, Stock market efficiency, Stock market integration, Multifractal, UNSPECIFIED
Journal or Publication Title: Emerging Markets Review
Volume: 34
Item Type: Article
Subjects: Manajemen
Depositing User: Endhar Priyo Utomo
Date Deposited: 30 Dec 2019 01:19
Last Modified: 30 Dec 2019 01:19
URI: https://repofeb.undip.ac.id/id/eprint/1118

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