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Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis

Author

Listed:
  • Rui Dias
  • Paula Heliodoro
  • Paulo Alexandre

Abstract

This study intends to analyse efficiency, in its weak form, in the financial markets of Indonesia, Malaysia, Philippines, Singapore, Thailand (Asean-5), and China, during the global pandemic (Covid-19).

Suggested Citation

  • Rui Dias & Paula Heliodoro & Paulo Alexandre, 2020. "Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis," Journal of Innovative Business and Management, DOBA Faculty, vol. 12(2), pages 13-19.
    • Handle: RePEc:dob:journl:v:12:y:2020:i:2:a:2
    DOI: 10.32015/JIBM.2020.12.2.2.13-19
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    More about this item

    Keywords

    Covid-19; Asean-5; long memories; arbitrage; portfolio diversification;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F3 - International Economics - - International Finance

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