Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets

IF 0.9 Q3 ECONOMICS

Organizations and Markets in Emerging Economies Pub Date : 2022-12-22 DOI:10.15388/omee.2022.13.89

Yunus Karaömer

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引用次数: 1

Abstract

This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return series. In this study, the dataset encompasses the daily frequency data of the MINT stock market indices from January 12, 2018, to January 12, 2022. The empirical findings show that long memory is reported for the MINT stock returns. The long memory in the returns implies that the MINT stock prices follow a predictable behavior that is consistent with the Fractal Market Hypothesis. The long memory in the volatility implies that the uncertainty or risk is an important factor in the formation of price movements in the MINT stock prices. Moreover, the MINT stock prices consist of the effect of shocks and news that occurred in the recent past. Thus, this study contributes to investors, academics, and market regulatory authorities. Besides, as far as we know, the current literature on the analysis of the fractal market hypothesis to explore the efficiency of the MINT stock markets has not been found.

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新兴市场分形市场假说研究——来自MINT股票市场的证据

本研究旨在基于分形市场假说研究新兴股票市场，即墨西哥、印度尼西亚、尼日利亚和土耳其（MINT）股票市场的市场效率。为此，使用ARFIMA和ARFIMA-FGARCH类型的模型来分析MINT股票回报序列。在这项研究中，数据集包括2018年1月12日至2022年1月12中MINT股市指数的日频率数据。实证结果表明，MINT股票收益率具有长记忆性。收益中的长记忆意味着MINT股价遵循一种可预测的行为，这与分形市场假说一致。波动性中的长记忆意味着不确定性或风险是MINT股价形成价格波动的重要因素。此外，MINT股价由最近发生的冲击和新闻的影响组成。因此，本研究有助于投资者、学者和市场监管机构。此外，据我们所知，目前文献中还没有关于分析分形市场假说来探索MINT股票市场效率的研究。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Organizations and Markets in Emerging Economies ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： The journal aims to contribute to the development and dissemination of multidisciplinary knowledge on organizations and markets in emerging economies, to increase dialogue among scholars focused on a specific emerging economy or region and to encourage and give an outlet to high quality scholarship, both local and international, to this subject. Organizations and Markets in Emerging Economies welcomes analysis of emerging economies from the perspectives of organizational sciences, marketing, economics, finance and related disciplines. The journal appreciates studies that highlight specificities and patterns that occur in emerging economies and develop new empirical and theoretical knowledge on the subject.