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The troika of business cycle, efficiency and volatility. An East Asian perspective

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  • Arshad, Shaista
  • Rizvi, Syed Aun R.

Abstract

The EMH has been the subject of much debate over the past few decades, with a recent surge in interest in Asian markets. Asian markets which traditionally comprise of many emerging markets are more volatile and speculative in nature. The heart of our study focuses on the East Asian economies, which have experienced massive capital inflows. This begs the question of whether or not the stock markets are efficient enough for further investment and development. Our paper differs from existing literature as it focuses on deriving weak form efficiency rankings during different business cycle phases. We endeavour further to assess the volatility and business cycle phases. Taking Malaysia, Indonesia, Singapore and South Korea owing to their economic and financial development, we use MF-DFA to derive efficiency rankings and find firstly, the overall efficiency has improved over the past two decades and secondly, markets are more efficient in growth phases in comparison to its preceding decline. Similarly, employing wavelet decomposition in conjunction with EGARCH, we obtain volatility of stock markets in two distinct time horizons, i.e. short term and long term. We find the markets to be more stable during economic boom than its preceding bust. Our results confer with mainstream literature.

Suggested Citation

  • Arshad, Shaista & Rizvi, Syed Aun R., 2015. "The troika of business cycle, efficiency and volatility. An East Asian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 158-170.
    • Handle: RePEc:eee:phsmap:v:419:y:2015:i:c:p:158-170
    DOI: 10.1016/j.physa.2014.10.014
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