Comparing Market Efficiency in Developed, Emerging, and Frontier Equity Markets: A Multifractal Detrended Fluctuation Analysis

被引:5
|
作者
Lee, Min-Jae [1 ]
Choi, Sun-Yong [2 ]
机构
[1] Gachon Univ, Dept Appl Stat, Seongnam 13120, South Korea
[2] Gachon Univ, Dept Financial Math, Seongnam 13120, South Korea
基金
新加坡国家研究基金会;
关键词
global market efficiency; multifractal detrended fluctuation analysis; developed markets; emerging markets; frontier markets; STOCK MARKETS; FINANCIAL LIBERALIZATION; INVESTORS; MEMORY;
D O I
10.3390/fractalfract7060478
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this article, we investigate the market efficiency of global stock markets using the multifractal detrended fluctuation analysis methodology and analyze the results by dividing them into developed, emerging, and frontier groups. The static analysis results reveal that financially advanced countries, such as Switzerland, the UK, and the US, have more efficient stock markets than other countries. Rolling window analysis shows that global issues dominate the developed country group, while emerging markets are vulnerable to foreign capital movements and political risks. In the frontier group, intensive domestic market issues vary, making it difficult to distinguish similar dynamics. Our findings have important implications for international investors and policymakers. International investors can establish investment strategies based on the degree of market efficiency of individual stock markets. Policymakers in countries with significant fluctuations in market efficiency should consider implementing new regulations to enhance market efficiency. Overall, this study provides valuable insights into the market efficiency of global stock markets and highlights the need for careful consideration by international investors and policymakers.
引用
收藏
页数:31
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