Author(s)

Sharad Nath Bhattacharya^1*, Mousumi Bhattacharya¹, Kousik Guhathakurta²

¹Indian Institute of Management, Shillong, India.
²Indian Institute of Management, Indore, India.

The paper explores the difference in efficiency between developed and emerging stock market from a long memory perspective for the period 2000 to 2015. Ten developed, and ten emerging countries were selected for the study based on Morgan Stanley Capital International’s classification. We used both rescaled range and detrended fluctuation analysis and supplemented the findings with estimates of the fractionally integrated parameter for stock market return, its volatility as well as its absolute return using spectral regression. Findings are supportive of the absence of long memory in returns but support presence of long memory in absolute returns and volatility. We conclude that co-movement and spillover between stock markets have affected the market efficiencies and the efficiency of the emerging stock markets is no longer very different from that of the developed stock markets.

Long Memory, Rescaled Range, Detrended Fluctuation Analysis, Fractional Integration, Spectral Regression

Bhattacharya, S. , Bhattacharya, M. and Guhathakurta, K. (2018) The Comparative Dynamics of Developed and Emerging Stock Markets: A Long Memory Perspective. Theoretical Economics Letters, 8, 1493-1509. doi: 10.4236/tel.2018.88096.