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 proceedingChapter

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 languageEnglish
Title of host publicationHandbook of Frontier Markets Vol.2: Evidence from Asia and International Comparative Studies
EditorsP. Andrikopoulos, G.N. Gregoriou, V. Kallinterakis
PublisherAcademic Press
Volume2
DOIs
Publication statusPublished - 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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    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