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dc.contributor.authorCamilleri, Silvio John-
dc.contributor.authorVassallo, Semiramis-
dc.contributor.authorBai, Ye-
dc.identifier.citationCamilleri, S. J., Vassallo, S., & Bai, Y. (2020). Predictability in securities price formation: differences between developed and emerging markets. Journal of Capital Markets Studies. 4(2), 145-166.en_GB
dc.description.abstractThis paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Daily returns are analysed for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests. The findings pin-point at predictabilities which seem inconsistent with market efficiency, and they suggest that the inherent cause of predictability differs across groups. Whilst the pricing process in emerging markets may be hindered by delayed adjustments, in case of established markets it seems that there is a higher tendency for price reversals which could be due to prior over-reactions.en_GB
dc.subjectPrices -- Mathematical modelsen_GB
dc.subjectInternational economic integrationen_GB
dc.subjectInvestments, Foreignen_GB
dc.subjectLiquidity (Economics)en_GB
dc.subjectFixed-income securitiesen_GB
dc.subjectStock exchangesen_GB
dc.subjectBusiness enterprisesen_GB
dc.titlePredictability in securities price formation : differences between developed and emerging marketsen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.publication.titleJournal of Capital Markets Studiesen_GB
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