Is market integration associated with informational efficiency of stock markets?

Hooy, Chee–Wooi; Lim, Kian−Ping

doi:10.1016/j.jpolmod.2012.09.002

Cited by 31 publications

(45 citation statements)

References 45 publications

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“…They found presences of stronger integration during periods of intensified volatility. Hooy and Lim (2013), Rockinger and Urga (2001) and Schotman and Zalewska (2006) are amongst the few to straddle efficiency and integration together. This group associated increased integration with higher risk attributes.…”

Section: Introductionmentioning

confidence: 99%

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

Rizvi

Arshad

Alam

2018

Emerging Markets Review

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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.

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Section: Introductionmentioning

confidence: 99%

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

Rizvi

Arshad

Alam

2018

Emerging Markets Review

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“…This may help to ensure the effectiveness of the adopted policies intended to stabilise the economy when addressing the markets imbalances and stimulate the economic growth. Furthermore, in order to mitigate the effect of financial fluctuations, a policy coordination and financial reform policies are needed among these countries which promotes information efficiency in the equity market (Hooy and Lim, 2013) such as lessening or removing the investment and trade barriers.…”

Section: Resultsmentioning

confidence: 99%

Dynamic Linkages among SAMI Nations (Saudi Arabia, Turkey, Malaysia, Indonesia) Equity Markets

Youcef¹,

Adewale²

2017

JIF

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This research paper investigates the dynamic linkages among four selected equity markets from Organization of the Islamic Conference (OIC) members. The four countries comprised the proposed Muslim BRICS called SAMI: Saudi Arabia, Ankara (Turkey), Malaysia and Indonesia. The study explores the short and long run linkages between these stock markets for the period spanning from January 2000 to September 2014 split into two sub-periods before and after the global financial crisis. Through applying Johansen co-integration analysis we found that the Indonesian, Malaysian, Saudi Arabian and Turkish stock markets are co-integrated during both periods. Emphasis was on the after crisis period where two co-integrating equations have been recorded. Granger causality test employed based on VECM further revealed that only a unidirectional relationship exist in the pre-crisis period between Saudi Arabia and Indonesia. However, bidirectional causality relationships were detected between almost all the four stock markets during the post-crisis period

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“…However, Arestis and Demetriades () propose that cross‐sectional studies of stock markets and economic growth have severe limitations due to the fact that they are usually based on reduced‐form equations, which make it difficult to infer causality. Hooy and Lim () further question the informational efficiency of stock markets, especially in regard to the liquidity risk caused by alleged informational asymmetries and high transaction costs.…”

Section: The Role Of Stock Markets In Lesser Developed Countriesmentioning

confidence: 99%

“…Hooy and Lim () also suggest that a company's share price is not always representative of its true performance, as share prices may not represent all available information nor do investors have equal access to such information. Similarly, Samuels et al.…”

Section: The Effects Of Stock Markets In Sea Countriesmentioning

confidence: 99%

Regional stock markets and the economic development of Southeast Asia

Niblock

Heng

Sloan

2014

Asian-Pac Economic Lit

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This paper establishes the contribution made by the establishment and operation of a local stock exchange to the economic development of Southeast Asian (SEA) countries.Specifically, the paper informs investors and policy makers about the current status of SEA stock market development and the associated positive and negative effects of such initiatives. Policy makers have placed a clear focus on SEA stock markets as a primary driver of regional economic growth. However, it is questionable whether SEA is ready for such an ambitious economic initiative, particularly given the reported negative effects of lesser-developed stock markets in the literature. Despite the reported negative implications in the literature, the benefits appear to outweigh the costs for SEA stock markets. It is perceived that SEA stock markets will drive further economic reform, financial liberalisation and market integration, promising tremendous benefits for both the region and international investment community. The paper concludes with questions regarding the efficiency of stock markets in SEA and offers recommendations for further empirical research.2

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Is market integration associated with informational efficiency of stock markets?

Cited by 31 publications

References 45 publications

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

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

Dynamic Linkages among SAMI Nations (Saudi Arabia, Turkey, Malaysia, Indonesia) Equity Markets

Regional stock markets and the economic development of Southeast Asia

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