Do emerging markets become more efficient as they develop? Long memory persistence in equity indices


Hull, Matthew and McGroarty, Frank (2013) Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. Emerging Markets Review

Download

Full text not available from this repository.

Description/Abstract

It seems reasonable to expect that more developed financial markets would be more efficient than less developed ones. We evaluate market efficiency over a 16 year sample, covering 22 countries. Further, we classify these countries into ‘advanced’ and ‘secondary’. We employ the Hurst-Mandelbrot-Wallis Rescaled-Range as our efficiency measure, which we apply to price levels and to return volatility. We find strong evidence of long memory persistence in volatility, which is unsurprising. However, in contrast to previous researchers, we found no evidence of increased price efficiency over time, while the greater efficiency observed in ‘advanced’ vs. ‘secondary’ emerging markets is marginal.

Item Type: Article
ISSNs: 1566-0141 (print)
Related URLs:
Subjects: H Social Sciences > HG Finance
Divisions : Faculty of Business and Law > Southampton Business School > Centre for Digital, Interactive & Data Driven Marketing
ePrint ID: 341453
Accepted Date and Publication Date:
Status
6 November 2013In press
Date Deposited: 25 Jul 2012 11:53
Last Modified: 31 Mar 2016 14:32
URI: http://eprints.soton.ac.uk/id/eprint/341453

Actions (login required)

View Item View Item