IDEAS home Printed from https://ideas.repec.org/a/bla/econpa/v39y2020i1p28-47.html
   My bibliography  Save this article

SME Stock Markets in Tropical Economies: Evolving Efficiency and Dual Long Memory

Author

Listed:
  • Trang Nguyen
  • Taha Chaiechi
  • Lynne Eagle
  • David Low

Abstract

This paper examines the evolving efficiency and the joint effects of thin trading, structural breaks and inflation on dual long memory in Small and Medium Enterprise stock markets in Hong Kong, Singapore, Thailand and Malaysia. The state‐space GARCH‐M, ARFIMA‐FIGARCH, ARFIMA‐FIAPARCH and ARFIMA‐HYGARCH models are adopted. The results determine that the Hong Kong and Singapore markets exhibit potential tendencies towards efficiency, implying the efficacy of several institutional reforms. The three aforementioned factors jointly have reducing effects on the magnitude and/or statistical significance of long‐memory estimates. The Thailand and Malaysia markets show a smaller degree of volatility persistence, indicating a good hedge for portfolio risk management.

Suggested Citation

  • Trang Nguyen & Taha Chaiechi & Lynne Eagle & David Low, 2020. "SME Stock Markets in Tropical Economies: Evolving Efficiency and Dual Long Memory," Economic Papers, The Economic Society of Australia, vol. 39(1), pages 28-47, March.
  • Handle: RePEc:bla:econpa:v:39:y:2020:i:1:p:28-47
    DOI: 10.1111/1759-3441.12254
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1759-3441.12254
    Download Restriction: no

    File URL: https://libkey.io/10.1111/1759-3441.12254?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:econpa:v:39:y:2020:i:1:p:28-47. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/esausea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.