SME Stock Markets in Tropical Economies: Evolving Efficiency and Dual Long Memory

Trang Nguyen; Taha Chaiechi; Lynne Eagle; David Low

doi:10.1111/1759-3441.12254

SME Stock Markets in Tropical Economies: Evolving Efficiency and Dual Long Memory

Trang Nguyen, Taha Chaiechi, Lynne Eagle, David Low

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	28-47
Number of pages	20
Journal	Economic Papers
Volume	39
Issue number	1
DOIs	https://doi.org/10.1111/1759-3441.12254
Publication status	Published - Mar 2020

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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.",

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author = "Trang Nguyen and Taha Chaiechi and Lynne Eagle and David Low",

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AB - 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.

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SME Stock Markets in Tropical Economies: Evolving Efficiency and Dual Long Memory

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