A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets
Syed Aun R. Rizvi (),
Shaista Arshad and
Emerging Markets Review, 2018, vol. 34, issue C, 143-161
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 (search for similar items in EconPapers)
JEL-codes: C22 E44 G1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161
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