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

Record type: Article

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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Citation

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

More information

Accepted/In Press date: 6 November 2013
Organisations: Centre for Digital, Interactive & Data Driven Marketing

Identifiers

Local EPrints ID: 341453
URI: http://eprints.soton.ac.uk/id/eprint/341453
ISSN: 1566-0141
PURE UUID: aabc0bd1-f532-42a2-b471-40945d002c2e

Catalogue record

Date deposited: 25 Jul 2012 11:53
Last modified: 18 Jul 2017 05:36

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