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Coming of age - a comparative study of emerging foreign exchange markets

Author

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  • Jamal Mecklai
  • Anis Shaikh

Abstract

We developed a market maturity index as a composite of the relative liquidity index (which was used historically to measure market maturity) and a market sophistication index, constructed by analyzing market volume and transaction data. We also constructed a risk management index using volatility and V2 (volatility of the volatility) to measure ease of risk management. Five (out of 14) emerging markets we studied - India, Brazil, Malaysia, Turkey and Poland - improved their risk management index scores from 2007 to 2009, suggesting increasing maturity. On the other hand, South Africa, Taiwan and South Korea, all markets that had seemed reasonably mature in 2007, performed extmacfemly poorly from a risk management perspective in 2009, suggesting that their original high market maturity index scores were probably not very stable.

Suggested Citation

  • Jamal Mecklai & Anis Shaikh, 2010. "Coming of age - a comparative study of emerging foreign exchange markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(1), pages 157-165.
    • Handle: RePEc:taf:macfem:v:3:y:2010:i:1:p:157-165
    DOI: 10.1080/17520840903498297
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