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

Emerging Markets Review
2017

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.

JEL classification
C22; E44; G1

Keywords:
Emerging markets; Decomposed returns; Stock market efficiency; Stock market integration; Multifractal

SDSB Category: