Comparing Market Efficiency in Developed, Emerging, and Frontier Equity Markets: A Multifractal Detrended Fluctuation Analysis

Fractal and Fractional

article

Min-Jae Lee¹  Sun-Yong Choi² 

[1]Department of Applied Statistics, Gachon University

[2]Department of Financial Mathematics, Gachon University

关键词: global market efficiency;    multifractal detrended fluctuation analysis;    developed markets;    emerging markets;    frontier markets;   

DOI  :  10.3390/fractalfract7060478

学科分类：社会科学、人文和艺术（综合）

来源: mdpi

【 摘 要 】

In this article, we investigate the market efficiency of global stock markets using the multifractal detrended fluctuation analysis methodology and analyze the results by dividing them into developed, emerging, and frontier groups. The static analysis results reveal that financially advanced countries, such as Switzerland, the UK, and the US, have more efficient stock markets than other countries. Rolling window analysis shows that global issues dominate the developed country group, while emerging markets are vulnerable to foreign capital movements and political risks. In the frontier group, intensive domestic market issues vary, making it difficult to distinguish similar dynamics. Our findings have important implications for international investors and policymakers. International investors can establish investment strategies based on the degree of market efficiency of individual stock markets. Policymakers in countries with significant fluctuations in market efficiency should consider implementing new regulations to enhance market efficiency. Overall, this study provides valuable insights into the market efficiency of global stock markets and highlights the need for careful consideration by international investors and policymakers.

【 授权许可】

CC BY