UNDERSTANDING ASIAN EMERGING STOCK MARKETS

  • Shaista Arshad University of Nottingham Malaysia Campus
  • Syed Aun Raza Rizvi Lahore University of Management Sciences
  • Omair Haroon Lahore University of Management Science
Keywords: Efficiency, Asia, Multifractal, Volatility

Abstract

We use a three-step process employing multifractal detrended fluctuation analysis tostudy time-varying changes in the volatility and efficiency of Asian emerging equitymarkets. Our findings suggest that, in emerging markets, long-term stability andefficiency are linked to market development and liberalization. Our findings furthersuggest that financial crises have a negative impact on the efficiency of emergingmarkets but only in the short term.

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Published
2019-02-27