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A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets

Rizvi, S. A.R., Arshad, S. and Alam, N. (2018) A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. Emerging Markets Review, 34. pp. 143-161. ISSN 1566-0141

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To link to this item DOI: 10.1016/j.ememar.2017.11.005


The objective of this paper is to analyse the time-varying changes of the three parameters, volatility, efficiency and integration on stock markets across emerging markets. We do this using a four-step process with focus on Multifractal Detrended Fluctuation Analysis to measure its efficiency. Our analysis show that lower volatility was found in short-term for countries that experienced fast paced economic growth. This increase in volatility is supported by a decrease in efficiency for the short-term, while market integration rose during periods of crises, which represent higher volatility. Hence, a tripartite relationship between our parameters is observed.

Item Type:Article
Divisions:University of Reading Malaysia
ID Code:81607


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