Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets

P. Andrikopoulos; A.D. Le Trang; M. Newaz

doi:10.1016/B978-0-12-803776-8.00013-6

Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets

P. Andrikopoulos, A.D. Le Trang, M. Newaz

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

1 Citation (Scopus)

Abstract

The purpose of this study is to examine the presence of structural breaks, efficiency and volatility of frontier markets of Southeast Asia. Using daily and weekly returns of four composite indices (VN Index, HNX Index, LSX Index and CSX Index) we measure the presence of price volatility in the markets of Vietnam, Laos and Cambodia. Our findings from all unit root, autocorrelation, run and variance ratio tests suggest that the Vietnam stock market is weak-form inefficient, while, for the cases of Laos and Cambodia the empirical statistics produce inconclusive results. Furthermore, symmetric volatility models are statistically significant in both daily and weekly series implying that the impacts of positive and negative news or shocks are the same in magnitude.

Original language	English
Title of host publication	Handbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies
Editors	P. Andrikopoulos, G.N. Gregoriou, V. Kallinterakis
Publisher	Academic Press
Volume	2
DOIs	https://doi.org/10.1016/B978-0-12-803776-8.00013-6
Publication status	Published - 2016

Bibliographical note

Chapter accepted for publication in the Handbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies, edited by P. Andrikopoulos, G.N. Gregoriou and V. Kallinterakis, Academic Press (Elsevier), forthcoming in Nov. 2016. Full citation details will be updated once available.

Keywords

Random walk
Market efficiency
Southeast Asia frontier markets

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10.1016/B978-0-12-803776-8.00013-6

Panagiotis Andrikopoulos
- Research Centre for Financial & Corporate Integrity - Centre Director
Person: Professional Services

Cite this

Andrikopoulos, P., Le Trang, A. D., & Newaz, M. (2016). Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets. In P. Andrikopoulos, G. N. Gregoriou, & V. Kallinterakis (Eds.), Handbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies (Vol. 2). Academic Press. https://doi.org/10.1016/B978-0-12-803776-8.00013-6

Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets. / Andrikopoulos, P.; Le Trang, A.D.; Newaz, M.
Handbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies. ed. / P. Andrikopoulos; G.N. Gregoriou; V. Kallinterakis. Vol. 2 Academic Press, 2016.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Andrikopoulos, P, Le Trang, AD & Newaz, M 2016, Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets. in P Andrikopoulos, GN Gregoriou & V Kallinterakis (eds), Handbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies. vol. 2, Academic Press. https://doi.org/10.1016/B978-0-12-803776-8.00013-6

Andrikopoulos P, Le Trang AD, Newaz M. Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets. In Andrikopoulos P, Gregoriou GN, Kallinterakis V, editors, Handbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies. Vol. 2. Academic Press. 2016 doi: 10.1016/B978-0-12-803776-8.00013-6

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AB - The purpose of this study is to examine the presence of structural breaks, efficiency and volatility of frontier markets of Southeast Asia. Using daily and weekly returns of four composite indices (VN Index, HNX Index, LSX Index and CSX Index) we measure the presence of price volatility in the markets of Vietnam, Laos and Cambodia. Our findings from all unit root, autocorrelation, run and variance ratio tests suggest that the Vietnam stock market is weak-form inefficient, while, for the cases of Laos and Cambodia the empirical statistics produce inconclusive results. Furthermore, symmetric volatility models are statistically significant in both daily and weekly series implying that the impacts of positive and negative news or shocks are the same in magnitude.

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Structural Breaks, Efficiency and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets

Abstract

Bibliographical note

Keywords

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Panagiotis Andrikopoulos

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