Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility

Purpose Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market. The purpose of this paper is to examine the evolving efficiency and dual long memory in the GEM. This paper also explore...

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Những tác giả chính:	Nguyen, Trang, Chaiechi, Taha, Eagle, Lynne, Low, David
Định dạng:	Bài viết
Ngôn ngữ:	English
Được phát hành:	University of Economics Ho Chi Minh City 2023
Truy cập trực tuyến:	https://www.emerald.com/insight/content/doi/10.1108/JABES-01-2019-0009/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115419
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id	oai:scholar.dlu.edu.vn:DLU123456789-115419
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spelling	oai:scholar.dlu.edu.vn:DLU123456789-1154192023-03-08T03:56:03Z Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility Nguyen, Trang Chaiechi, Taha Eagle, Lynne Low, David Purpose Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market. The purpose of this paper is to examine the evolving efficiency and dual long memory in the GEM. This paper also explores the joint impacts of thin trading, structural breaks and inflation on the dual long memory. Design/methodology/approach State-space GARCH-M model, Kalman filter estimation, factor-adjustment techniques and fractionally integrated models: ARFIMA–FIGARCH, ARFIMA–FIAPARCH and ARFIMA–HYGARCH are adopted for the empirical analysis. Findings The results indicate that the GEM is still weak-form inefficient but shows a tendency towards efficiency over time except during the global financial crisis. There also exists a stationary long-memory property in the market return and volatility; however, these long-memory properties weaken in magnitude and/or statistical significance when the joint impacts of the three aforementioned factors were taken into account. Research limitations/implications A forecasts of the hedging model that capture dual long memory could provide investors further insights into risk management of investments in the GEM. Practical implications The findings of this study are relevant to market authorities in improving the GEM market efficiency and investors in modelling hedging strategies for the GEM. Originality/value This study is the first to investigate the evolving efficiency and dual long memory in an SME stock market, and the joint impacts of thin trading, structural breaks and inflation on the dual long memory. 2023-03-08T03:56:03Z 2023-03-08T03:56:03Z 2019 Article 2515-964X https://www.emerald.com/insight/content/doi/10.1108/JABES-01-2019-0009/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115419 10.1108/JABES-01-2019-0009 en Journal of Asian Business and Economic Studies, Volume 27, Issue 1; p. 19-34 application/pdf University of Economics Ho Chi Minh City
institution	Thư viện Trường Đại học Đà Lạt
collection	Thư viện số
language	English
description	Purpose Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market. The purpose of this paper is to examine the evolving efficiency and dual long memory in the GEM. This paper also explores the joint impacts of thin trading, structural breaks and inflation on the dual long memory. Design/methodology/approach State-space GARCH-M model, Kalman filter estimation, factor-adjustment techniques and fractionally integrated models: ARFIMA–FIGARCH, ARFIMA–FIAPARCH and ARFIMA–HYGARCH are adopted for the empirical analysis. Findings The results indicate that the GEM is still weak-form inefficient but shows a tendency towards efficiency over time except during the global financial crisis. There also exists a stationary long-memory property in the market return and volatility; however, these long-memory properties weaken in magnitude and/or statistical significance when the joint impacts of the three aforementioned factors were taken into account. Research limitations/implications A forecasts of the hedging model that capture dual long memory could provide investors further insights into risk management of investments in the GEM. Practical implications The findings of this study are relevant to market authorities in improving the GEM market efficiency and investors in modelling hedging strategies for the GEM. Originality/value This study is the first to investigate the evolving efficiency and dual long memory in an SME stock market, and the joint impacts of thin trading, structural breaks and inflation on the dual long memory.
format	Article
author	Nguyen, Trang Chaiechi, Taha Eagle, Lynne Low, David
spellingShingle	Nguyen, Trang Chaiechi, Taha Eagle, Lynne Low, David Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility
author_facet	Nguyen, Trang Chaiechi, Taha Eagle, Lynne Low, David
author_sort	Nguyen, Trang
title	Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility
title_short	Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility
title_full	Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility
title_fullStr	Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility
title_full_unstemmed	Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility
title_sort	growth enterprise market in hong kong: efficiency evolution and long memory in return and volatility
publisher	University of Economics Ho Chi Minh City
publishDate	2023
url	https://www.emerald.com/insight/content/doi/10.1108/JABES-01-2019-0009/full/html http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115419
_version_	1765278169530630144

Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility

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