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UNDERSTANDING ASIAN EMERGING STOCK MARKETS

Shaista Arshad (), Omair Haroon () and Syed Aun R. Rizvi ()
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Shaista Arshad: University of Nottingham Malaysia
Omair Haroon: Lahore University of Management Science

Bulletin of Monetary Economics and Banking, 2019, vol. -, issue 12th BMEB Call for Papers Special Issue, 1-16

Abstract: We use a three-step process employing multifractal detrended fluctuation analysis to study time-varying changes in the volatility and efficiency of Asian emerging equity markets. Our findings suggest that, in emerging markets, long-term stability and efficiency are linked to market development and liberalization. Our findings further suggest that financial crises have a negative impact on the efficiency of emerging markets but only in the short term.

Keywords: Efficiency; Asia; Emerging Markets; Equity Market; Volatility (search for similar items in EconPapers)
JEL-codes: C22 E44 G1 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:1:y:2019:i:sp4:p:1-16

DOI: https://doi.org/10.21098/bemp.v0i0.983

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