Market efficiency of Baltic stock markets : a fractional integration approach

dc.contributor.authorGil-Alana, Luis A.
dc.contributor.authorGupta, Rangan
dc.contributor.authorShittu, Olanrewaju I.
dc.contributor.authorYaya, OlaOluwa S.
dc.date.accessioned2018-10-29T09:35:07Z
dc.date.issued2018-12
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.embargo2019-12-01
dc.description.librarianhj2018en_ZA
dc.description.urihttp://www.elsevier.com/locate/physaen_ZA
dc.identifier.citationGil-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.issn0378-4371 (print)
dc.identifier.issn1873-2119 (online)
dc.identifier.other10.1016/j.physa.2018.07.029
dc.identifier.urihttp://hdl.handle.net/2263/67090
dc.language.isoenen_ZA
dc.publisherElsevieren_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.subjectBaltic stocksen_ZA
dc.subjectBull and bear phasesen_ZA
dc.subjectEfficient market hypothesisen_ZA
dc.subjectFractional cointegrationen_ZA
dc.subjectFractional integrationen_ZA
dc.subjectVolatilityen_ZA
dc.subjectUnit root testsen_ZA
dc.subjectLong memoryen_ZA
dc.subjectTime seriesen_ZA
dc.subjectNonstationary hypothesesen_ZA
dc.subjectBear marketsen_ZA
dc.subjectBull marketsen_ZA
dc.subjectAlternativesen_ZA
dc.subjectReturnsen_ZA
dc.subjectPoweren_ZA
dc.subjectInterdependenceen_ZA
dc.titleMarket efficiency of Baltic stock markets : a fractional integration approachen_ZA
dc.typePostprint Articleen_ZA

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