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Compared analysis of econometrical characteristics of three Asian stock markets
[El análisis comparativo de las características econométricas de los tres mercados bursátiles en Asia]

Author

Listed:
  • Sophie Nivoix

    (Axe 2 (2011-2016) : « Marchés, Cultures de consommation, Autonomie et Migrations » (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique, CEREGE [Poitiers, La Rochelle] - Centre de recherche en gestion [EA 1722] - IAE Poitiers - Institut d'Administration des Entreprises (IAE) - Poitiers - UP - Université de Poitiers = University of Poitiers - UP - Université de Poitiers = University of Poitiers - ULR - La Rochelle Université)

  • Prateek Gupta

    (IIT Guwahati - Indian Institute of Technology Guwahati)

Abstract

This study compares the characteristics of the stock markets of the three major countries of the Asian economic area: China, India and Japan. We show that the index returns of these countries do not follow a random walk, and that their volatilities exhibit positive autocorrelations. Moreover, the Japanese stock market seems to be fairly closer to efficiency and maturity than the Chinese market, and clearly more than the Indian market, as this market include far more frequent return outliers than the two others.

Suggested Citation

  • Sophie Nivoix & Prateek Gupta, 2014. "Compared analysis of econometrical characteristics of three Asian stock markets [El análisis comparativo de las características econométricas de los tres mercados bursátiles en Asia]," Post-Print halshs-01370735, HAL.
    • Handle: RePEc:hal:journl:halshs-01370735
    DOI: 10.3917/rsg.266.0075
    as

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