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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5532

Title: On the functioning and the efficiency of the emerging equity markets
Authors: Spyrou, Spyros I
Advisors: Antoniou, A
Garrett, I
Publication Date: 1997
Publisher: School of Social Sciences Theses
Abstract: In the present thesis a series of theoretical and empirical issues relating to the functioning and the efficiency of the emerging equity markets is investigated. The sample covers ten markets; four from the Latin America and six from the Asia, Asia- Pacific, for the period between 1976 to 1994. In particular, I investigate various aspects of the behavior of equity prices in emerging markets, focusing on whether financial markets in the emerging economies are efficient [as in Fama (1970b)] or exhibit seasonal patterns; whether they move together over time and any subsequent implications this long-run comovement may have for international portfolio diversification; how volatility in these markets behaves and whether there are volatility spill overs from one market to another; whether financial liberalization has increased or decreased equity market volatility; what factors are important in determining equity returns in emerging economies. The main results that emerge from the analysis suggest that prices in the markets of the sample do not follow Random Walks and exhibit seasonal patterns, such as the well known Monday-effect. Furthermore, common long-run trends were detected within regions, however, more detailed analysis suggested that benefits to international portfolio diversification are not eradicated in the long-run. Also, a meteor shower effect, i.e. volatility spill-overs, was detected for most markets.
Description: This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.
URI: http://bura.brunel.ac.uk/handle/2438/5532
Appears in Collections:School of Social Sciences Theses
Economics and Finance

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