SME stock markets in tropical economies: evolving efficiency and dual long memory

Nguyen, Trang, Chaiechi, Taha, Eagle, Lynne, and Low, David (2019) SME stock markets in tropical economies: evolving efficiency and dual long memory. Economic Papers, 39 (1). pp. 28-47.

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DOI: 10.1111/1759-3441.12254

View at Publisher Website: https://doi.org/10.1111/1759-3441.12254

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.


Item ID:	58404
Item Type:	Article (Research - C1)
ISSN:	1759-3441
Keywords:	SME stock market, evolving efficiency, inflation, long memory, structural break, thin trading
Copyright Information:	© 2019 The Economic Society of Australia
Date Deposited:	01 Jul 2019 23:40
FoR Codes:	38 ECONOMICS > 3801 Applied economics > 380107 Financial economics @ 40% 38 ECONOMICS > 3802 Econometrics > 380205 Time-series analysis @ 60%
SEO Codes:	91 ECONOMIC FRAMEWORK > 9102 Microeconomics > 910206 Market-Based Mechanisms @ 100%
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