Extreme Volatility and Market Testing ofEfficiency on Small Cap Indices
Journal Title: JOURNAL OF COMMERCE AND TRADE - Year 2016, Vol 11, Issue 2
Abstract
We examined the volatility and market efficiency countries small cap indices and also tested the relationship exists between emerging and developed countries small cap indices. The data consisted of daily series of International market Small-Cap indices which are from MSCI (Morgan Stanley Capital International) are used for analysis. The market index series were measured in dollar currency terms and no major discrepancies were found in the data. The study period is from 2009 to 2015 and the historical data used leading emerging countries such as Brazil, China, India, Indonesia, Korea, Malaysia, Philippines, Russia, South Africa and Taiwan and leading industrialized countries such as Australia, Belgium, Finland, France, Germany, Italy, Netherland, Norway, Switzerland and United Kingdom. We found that the industrialized countries have the market efficiency, it means the present price does not influence by the past price, whereas the emerging countries does not have the same. The volatility most of the countries have the reasonably long persistence of volatility.
Authors and Affiliations
Sridhar L. S. , Sumathy M
Keywords
Related Articles
- EP ID EP249609
- DOI -
- Views 89
- Downloads 0
Marketing Strategy of Vehicle Finance
This paper briefly tries to evaluate the marketing strategy of vehicle finance. For this purpose, an empirical study is undertaken on Western Uttar Pradesh vehicle finance companies covering Bareilly, Moradabad, Meerut a...
Employee Engagement, Training and Career Development (Tata Tele Services Limited – A Case Study)
Employee engagement is generally the level of commitment and involvement an employee has towards his or her organization and its core values and beliefs. An engaged employee is presumed to be aware of business context, a...
Banking Sector in India : It Innovations and its Impact
The fast pace of changes in the Indian economy since liberalization; have radically and perceptibly transformed the operational environment of the banking sector. After decades of governmental safeguard for commercial ba...
Quality of Working Life (A Study of Government Schools of District Amritsar)
The concept of the ‘Quality of Working life’ is imprecise and thus problematic to operationalise. As per the present scenario whether is banking sector , pharmaceutical or Fast Moving Consumer Goods (FMCG) everything has...
Managing Stakeholders : A Case study on Small Scale Industries
All businesses operate within a complex system of interests and influences, those people and groups that may affect the company and, in turn, be affected by the company’s actions and decisions are its stakeholders and ma...