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

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  • Bodeutsch, D.S.
  • Franses, Ph.H.B.F.

Abstract

__Abstract__ The empirical properties of stock returns are studied for 10 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

  • Bodeutsch, D.S. & Franses, Ph.H.B.F., 2014. "The Stock Exchange of Suriname: Returns, Volatility, Correlations and Weak-form Efficiency," Econometric Institute Research Papers EI 2014-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:50639
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    References listed on IDEAS

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    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.

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    More about this item

    Keywords

    emerging markets; developing countries; returns; volatility; market weak-form efficiency;
    All these keywords.

    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

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