A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets |
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| Institution: | 1. Suleman Dawood School of Business, Lahore University of Management Sciences, Lahore, Pakistan;2. Nottingham University Business School, The University of Nottingham Malaysia Campus, Malaysia;3. Henley Business School, The University of Reading Malaysia, Malaysia;1. School of International Business, Zhejiang Financial College, Hangzhou 310018, China;2. School of Business Administration, Zhejiang Gongshang University, Hangzhou 310018, China;3. Research Center for Regional Financial Development, Zhejiang Financial College, Hangzhou 310018, China;4. Academy of Financial Research, Zhejiang University, Hangzhou 310058, China;1. University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh EH8 9GQ, UK;2. NEOMA Business School, France;3. Business Research Unit (BRU–UNIDE), Portugal;4. Universidad Carlos III de Madrid (Department of Statistics and Instituto Flores de Lemus), C/Madrid 126, 28903 Getafe, Spain;2. Department of Economics, Accounting and Statistics, University of Palermo, 90128 Palermo, Italy |
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| 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. |
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