| ID | 142018 |
| Title Proper | Stock market efficiency in developing economies |
| Language | ENG |
| Author | Mukherji, Ronit |
| Summary / Abstract (Note) | This article analyses the degree of stock market efficiency in three emerging economies— India, China and Brazil. It tests to see if US stock returns have an influence on endogenous stock returns, even after controlling for domestic macroeconomic variables. A country-specific vector auto-regression model is used to test the short-run effects and the fully modified ordinary least square procedure has been used to find the long-run relationship, thus checking for degree of efficiency in these stock markets. The results indicate that, despite controlling for key domestic stock return determinants, US stock returns have a significant positive relationship with the stock returns of all three countries. |
| `In' analytical Note | Margin Vol. 9, No.4; Nov 2015: p.402-429 |
| Journal Source | Margin 2015-12 9, 4 |
| Key Words | Panel Cointegration ; Emerging Market Economies ; Vector Auto-regression ; Fully Modified Ordinary ; Least Square (FMOLS) ; Dynamic Ordinary Least Square (DOLS) |