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Understanding Asian Emerging Stock Markets

Author

Listed:
  • Shaista Arshad

    (University of Nottingham Malaysia)

  • Omair Haroon

    (Lahore University of Management Science)

  • Syed Aun R. Rizvi

    (Lahore University of Management Science)

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.

Suggested Citation

  • Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-16, January.
    • Handle: 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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    Cited by:

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    2. Arshad, Shaista & Rizvi, Syed Aun R. & Haroon, Omair, 2020. "Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency," Finance Research Letters, Elsevier, vol. 34(C).
    3. Sha, Yezhou & Gao, Ran, 2019. "Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry," Economic Modelling, Elsevier, vol. 83(C), pages 8-16.
    4. Naufa, Ahmad Maulin & Lantara, I Wayan Nuka & Lau, Wee-Yeap, 2019. "The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 221-235.
    5. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.

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    More about this item

    Keywords

    Efficiency; Asia; Emerging Markets; Equity Market; Volatility;
    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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