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

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  • Rizvi, Syed Aun R.
  • Arshad, Shaista
  • Alam, Nafis

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.

Suggested Citation

  • Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
    • Handle: RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161
    DOI: 10.1016/j.ememar.2017.11.005
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    More about this item

    Keywords

    Emerging markets; Decomposed returns; Stock market efficiency; Stock market integration; Multifractal;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets

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