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A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets

Syed Aun R. Rizvi (), Shaista Arshad and Nafis Alam

Emerging Markets Review, 2018, vol. 34, issue C, 143-161

Abstract: 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)
Date: 2018
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