IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v51y2015i1p130-139.html
   My bibliography  Save this article

The Stock Exchange of Suriname: Returns, Volatility, Correlations, and Weak-Form Efficiency

Author

Listed:
  • Denice Bodeutsch
  • Philip Hans Franses

Abstract

The empirical properties of stock returns are studied for ten companies listed at the Suriname Stock Exchange (SSE), which is a young and growing stock market. Individual stock returns are found to be predictable from the own past to some extent, but the equal-weighted index returns are not. Dynamic correlations with large Latin American stock markets appear to be zero. It is concluded that there is much more efficiency to be gained for the SSE.

Suggested Citation

  • Denice Bodeutsch & Philip Hans Franses, 2015. "The Stock Exchange of Suriname: Returns, Volatility, Correlations, and Weak-Form Efficiency," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(1), pages 130-139, January.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:1:p:130-139
    DOI: 10.1080/1540496X.2015.1011523
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2015.1011523
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2015.1011523?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. M. Magnusson & B. Wydick, 2002. "How Efficient are Africa's Emerging Stock Markets?," Journal of Development Studies, Taylor & Francis Journals, vol. 38(4), pages 141-156.
    2. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
    3. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    4. Patrick Kent Watson, 2009. "The efficiency of the stock market in the CARICOM sub-region: an empirical study," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1915-1924.
    5. H. R. Seddighi & W. Nian, 2004. "The Chinese stock exchange market: operations and efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 14(11), pages 785-797.
    6. Barro, Robert J, 1990. "The Stock Market and Investment," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 115-131.
    7. Butler, Kirt C. & Malaikah, S. J., 1992. "Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 197-210, February.
    8. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," The World Bank Economic Review, World Bank, vol. 9(1), pages 131-151, January.
    9. Jorge L. Urrutia, 1995. "Tests Of Random Walk And Market Efficiency For Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ooft, Gavin & Bhaghoe, Sailesh & Hans Franses, Philip, 2021. "Forecasting annual inflation in Suriname," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    2. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Long Chen & Lu Zhang, 2009. "The stock market and aggregate employment," NBER Working Papers 15219, National Bureau of Economic Research, Inc.
    2. Colombage, Sisira R.N., 2009. "Financial markets and economic performances: Empirical evidence from five industrialized economies," Research in International Business and Finance, Elsevier, vol. 23(3), pages 339-348, September.
    3. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
    4. Gregory R. Duffee & Stephen D. Prowse, "undated". "What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment," Finance and Economics Discussion Series 1996-38, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
    5. Luis Miguel Pacheco & Jose Martins Barata, 2005. "Residential and Stock Market Effects on Consumption across Europe," International Journal of Housing Policy, Taylor & Francis Journals, vol. 5(3), pages 255-278.
    6. Dimitrios Gounopoulos & Kyriaki Kosmidou & Dimitrios Kousenidis & Victoria Patsika, 2019. "The investigation of the dynamic linkages between real estate market and stock market in Greece," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 647-669, May.
    7. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
    8. Daniel M. Covitz & Diana Hancock & Myron L. Kwast, 2004. "A reconsideration of the risk sensitivity of U.S. banking organization subordinated debt spreads: a sample selection approach," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 73-92.
    9. David G. McMillan, 2021. "Predicting GDP growth with stock and bond markets: Do they contain different information?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3651-3675, July.
    10. Daniel M. Covitz & Diana Hancock & Myron L. Kwast, 2004. "Market discipline in banking reconsidered: the roles of funding manager decisions and deposit insurance reform," Finance and Economics Discussion Series 2004-53, Board of Governors of the Federal Reserve System (U.S.).
    11. Hui Guo, 2002. "Why are stock market returns correlated with future economic activities?," Review, Federal Reserve Bank of St. Louis, vol. 84(Mar.), pages 19-34.
    12. Joe Appiah‐Kusi & Kojo Menyah, 2003. "Return predictability in African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 12(3), pages 247-270.
    13. Fathia Elleuch Lahyani, 2014. "Are MENA and Pacific Basin Stock Equity Markets Predictable?," SAGE Open, , vol. 4(4), pages 21582440145, December.
    14. Ghosal, Vivek & Gallo, Joseph, 2001. "The cyclical behavior of the Department of Justice's antitrust enforcement activity," International Journal of Industrial Organization, Elsevier, vol. 19(1-2), pages 27-54, January.
    15. Jinyong Kim & Yongsik Kim, 2022. "Market‐wide shocks and the predictive power for the real economy in the Korean stock market," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 380-399, October.
    16. Meixing DAI & Moïse SIDIROPOULOS, 2009. "Money growth rule and macro-financial stability under inflation-targeting regime," Working Papers of BETA 2009-05, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    17. Alam, Md. Mahmudul & Uddi, Gazi Salah, 2019. "Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries," SocArXiv 5fket, Center for Open Science.
    18. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 75-86.
    19. Daniel M. Covitz & Diana Hancock & Myron L. Kwast, 2002. "Market discipline in banking reconsidered: the roles of deposit insurance reform, funding manager decisions and bond market liquidity," Finance and Economics Discussion Series 2002-46, Board of Governors of the Federal Reserve System (U.S.).
    20. Krainer, Robert E., 2013. "Towards a program for financial stability," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 207-218.

    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:51:y:2015:i:1:p:130-139. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.