Do emerging markets become more efficient as they develop? Long memory persistence in equity indices
Do emerging markets become more efficient as they develop? Long memory persistence in equity indices
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.
Hull, Matthew
299fa9f7-5f0c-4477-bbf4-c713a4f577ed
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Hull, Matthew
299fa9f7-5f0c-4477-bbf4-c713a4f577ed
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Hull, Matthew and McGroarty, Frank
(2013)
Do emerging markets become more efficient as they develop? Long memory persistence in equity indices.
Emerging Markets Review.
(In Press)
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.
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Accepted/In Press date: 6 November 2013
Organisations:
Centre for Digital, Interactive & Data Driven Marketing
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Local EPrints ID: 341453
URI: http://eprints.soton.ac.uk/id/eprint/341453
ISSN: 1566-0141
PURE UUID: aabc0bd1-f532-42a2-b471-40945d002c2e
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Date deposited: 25 Jul 2012 11:53
Last modified: 11 Dec 2021 03:53
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Author:
Matthew Hull
Author:
Frank McGroarty
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