SME stock markets in tropical economies: evolving efficiency and dual long memory
Journal Publication ResearchOnline@JCUAbstract
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.
Journal
Economic Papers
Publication Name
N/A
Volume
39
ISBN/ISSN
1759-3441
Edition
N/A
Issue
1
Pages Count
20
Location
N/A
Publisher
Economic Society of Australia
Publisher Url
N/A
Publisher Location
N/A
Publish Date
N/A
Url
N/A
Date
N/A
EISSN
N/A
DOI
10.1111/1759-3441.12254