Lim, Kian Ping and Brooks, Robert D. (2009) Why do emerging stock markets experience more persistent price deviations from a random walk over time? A country-level analysis. Macroeconomic Dynamics. pp. 1-39. ISSN 1365-1005 (In Press)
|
Text
Why_do_emerging_stock_markets_experience.pdf Download (205kB) | Preview |
Abstract
This paper employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of fifty countries over the sample period 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high-income group. This clustering effect is not due to market liquidity or other structural characteristics, but instead can be explained by cross-country variation in the degree of private property rights protection. Our conjecture is that weak protection deters the participation of informed arbitrageurs, leaving those markets dominated by sentiment-prone noise traders whose correlated trading causes stock prices in emerging markets to deviate from the random walk benchmarks for persistent periods of time.
| Item Type: | Article |
|---|---|
| Keyword: | Random Walk, Degree of market efficiency, Determinants of market efficiency, Private property rights |
| Subjects: | H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
| Department: | SCHOOL > Labuan School of International Business and Finance |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 26 Feb 2011 10:57 |
| Last Modified: | 19 Oct 2017 16:05 |
| URI: | https://eprints.ums.edu.my/id/eprint/1905 |
Actions (login required)
 |
View Item |