Suleman Dawood School of Business (SDSB) faculty, Dr. Syed Aun Raza Rizvi's research article, ‘A Tripartite Inquiry into Volatility-Efficiency-Integration Nexus - Case of Emerging Markets’ has been published in the Emerging Markets Review.
The objective of this paper is to analyse the time-varying changes of the three parameters, volatility, efficiency and integration of stock markets across emerging markets. Dr. Rizvi does this using a four-step process with a focus on Multifractal Detrended Fluctuation Analysis to measure its efficiency. His analysis shows that lower volatility was found in short-term for countries that experienced fast-paced economic growth. This increase in volatility is supported by a decrease in efficiency for the short-term, while market integration rose during periods of crises, which represent higher volatility. Hence, a tripartite relationship between the parameters is observed.
