TITLE:
The Comparative Dynamics of Developed and Emerging Stock Markets: A Long Memory Perspective
AUTHORS:
Sharad Nath Bhattacharya, Mousumi Bhattacharya, Kousik Guhathakurta
KEYWORDS:
Long Memory, Rescaled Range, Detrended Fluctuation Analysis, Fractional Integration, Spectral Regression
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.8,
June
7,
2018
ABSTRACT: 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.