Market efficiency of Baltic stock markets : a fractional integration approach

Show simple item record Gil-Alana, Luis A. Gupta, Rangan Shittu, Olanrewaju I. Yaya, OlaOluwa S. 2018-10-29T09:35:07Z 2018-12
dc.description.abstract We investigate financial market efficiency in the time series of four daily Baltic stock market indices, namely: Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and all share index of Vilnius (OMXV), based on historical data from 1 January, 2000 to 22 January 2016. We use fractional integration methods to test the hypothesis of market efficiency. Realizing that long-memory estimation could be spurious in the presence of structural breaks, we identify bull and bear market phases from each of the time series. Applying the fractional integration approach, we find that the random walk hypothesis of market efficiency is generally rejected in the overall, and at two bull and one bear sub-samples of the four Baltic stock indices. The volatility at the bear markets of these stocks persists more than the volatility at the bull markets. Our results therefore provide evidence for weak form of market efficiency in the Baltic stock markets, with some exceptions. As a way of policy, the results are relevant to portfolio managers and policy makers in a number of ways. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2019-12-01
dc.description.librarian hj2018 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Gil-Alana, L.A., Gupta, R., Shittu, O.I. et al. 2018, 'Market efficiency of Baltic stock markets : a fractional integration approach', Physica A: Statistical Mechanics and its Applications, vol. 511, pp. 251-262. en_ZA
dc.identifier.issn 0378-4371 (print)
dc.identifier.issn 1873-2119 (online)
dc.identifier.other 10.1016/j.physa.2018.07.029
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Physica A: Statistical Mechanics and its Applications. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Physica A: Statistical Mechanics and its Applications, vol. 511, pp. 251-262, 2018. doi : 10.1016/j.physa.2018.07.029. en_ZA
dc.subject Baltic stocks en_ZA
dc.subject Bull and bear phases en_ZA
dc.subject Efficient market hypothesis en_ZA
dc.subject Fractional cointegration en_ZA
dc.subject Fractional integration en_ZA
dc.subject Volatility en_ZA
dc.subject Unit root tests en_ZA
dc.subject Long memory en_ZA
dc.subject Time series en_ZA
dc.subject Nonstationary hypotheses en_ZA
dc.subject Bear markets en_ZA
dc.subject Bull markets en_ZA
dc.subject Alternatives en_ZA
dc.subject Returns en_ZA
dc.subject Power en_ZA
dc.subject Interdependence en_ZA
dc.title Market efficiency of Baltic stock markets : a fractional integration approach en_ZA
dc.type Postprint Article en_ZA

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