Stock Indices of BRIC economies: Explored for Non Linear Dynamics and Volatility

Karamchandani, Mrs. Muskan; Mohadikar, Ms. Shubhra; Jain, Ms. Savera

doi:10.9790/5933-0265365

Cited by 2 publications

(2 citation statements)

References 26 publications

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“…Following the results, the developed capital markets are more efficient compared with the emerging BRIC capital markets, with an average CMEE of 2.785, and the emerging European countries selected and analysed in this paper (with an average CMEE of 3.442). Empirical evidence of emerging markets has opened opportunities for portfolio investors to exploit the predictability in these markets, and these results confirm other results in the existing literature (Chong et al, 2010;Karamchandani et al, 2014).…”

Section: Capital Market Efficiency Exponentsupporting

confidence: 87%

A new proposal for efficiency quantification of capital markets in the context of complex non-linear dynamics and chaos

Oprean

Tănăsescu

Bucur

2017

Economic Research-Ekonomska Istraživanja

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The main purpose of this paper is efficiency analysis as well as its quantification in the case of emerging capital markets, by building a new measure of market efficiency. The basic assumption of such markets is the lack of correlation between returns, and therefore the existence of low entropy, the lack of randomness, manifestation of fractality and long-term memory, integrated into a single measure, will indicate the distancing from the state of efficient market. This paper proposes five different estimates (for informational entropy, run test, Hurst exponent, long-term correlation coefficient and fractal dimension) to construct a new measure of market efficiency based on a deviation from the ideal state (expressed by the efficient market). The Capital Market Efficiency Exponent is estimated for nine emerging capital markets and, for comparison, for three developed capital markets, at different stages of development over a 16-year time span.

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Section: Capital Market Efficiency Exponentsupporting

confidence: 87%

A new proposal for efficiency quantification of capital markets in the context of complex non-linear dynamics and chaos

Oprean

Tănăsescu

Bucur

2017

Economic Research-Ekonomska Istraživanja

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“…The empirical studies support that the emerging market economies are more inefficient than the developed countries. Therefore, the appropriate macroeconomic policies may lead to a more efficient market (Karamchandani et al, 2014).…”

Section: From Random Walks To Efficient Market Hypothesis (Emh)mentioning

confidence: 99%

Covid-19’s Fever on Financial Markets in China: The Interaction Between Foreign Exchange Market and the Stock Market

Kahraman

Sarıyer

2022

TESAM Akademi Dergisi

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The impacts of the COVID-19 pandemic on economies are different, however financial markets followed a similar pattern. This paper investigates the preliminary effect of the pandemic on China’s stock exchange market and foreign exchange market by comparing the pre-pandemic and post-pandemic periods. The results indicate that there is a significant interaction between two markets and both markets do not behave randomly. This linkage is crucial to determine the macroeconomic policies against a random walk. We investigate that the monetary policy interventions have positive effect to increase efficiency of financial markets. Moreover, financial markets do not follow a random walk path. It can be said that now, China’s money market in an upward trend due to the relatively reduce in uncertainty and pessimist expectations.

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Stock Indices of BRIC economies: Explored for Non Linear Dynamics and Volatility

Cited by 2 publications

References 26 publications

A new proposal for efficiency quantification of capital markets in the context of complex non-linear dynamics and chaos

A new proposal for efficiency quantification of capital markets in the context of complex non-linear dynamics and chaos

Covid-19’s Fever on Financial Markets in China: The Interaction Between Foreign Exchange Market and the Stock Market

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