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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

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


Local EPrints ID: 341453
ISSN: 1566-0141
PURE UUID: aabc0bd1-f532-42a2-b471-40945d002c2e

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

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