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The objective of this paper is to analyse the time-varying changes of the three parameters, volatility, efficiency and integration on stock markets across emerging markets. We do this using a four-step process with focus on Multifractal Detrended Fluctuation Analysis to measure its efficiency. Our analysis show 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 our parameters is observed.

This study is novel in measuring the volatility and efficiency of Islamic stock markets of top oil-importing countries. Daily prices of six Islamic stock markets are analysed for volatility using EGARCH and efficiency using Multifractal Detrended Fluctuation Analysis, over three different economic regimes. The results indicate a concurrent movement of oil price volatility and Islamic stock market volatility, as Islamic stock markets are heavily reliant on the real economy, which faces the effects of oil price changes. Emerging markets faced higher volatility and lower efficiency than developed counterparts, owing to fast-paced economic and infrastructural growth, affecting the real sector of the economy.

We use a three-step process employing multifractal detrended fluctuation analysis tostudy time-varying changes in the volatility and efficiency of Asian emerging equitymarkets. Our findings suggest that, in emerging markets, long-term stability andefficiency are linked to market development and liberalization. Our findings furthersuggest that financial crises have a negative impact on the efficiency of emergingmarkets but only in the short term.

The introduction and continual ambiguity surrounding Brexit vote has brought attention to the volatility of the London Stock Exchange (LSE). Using wavelets to decompose financial time series into short-term and long-term components, we study the volatility and efficiency of the different sectors in LSE around Brexit vote events. The results reveal that while the overall volatility reduced, various sectors within LSE behaved differently. Furthermore, the efficiency of the British stock market worsened drastically during the uncertainty of the Brexit vote.

The EMH has been the subject of much debate over the past few decades, with a recent surge in interest in Asian markets. Asian markets which traditionally comprise of many emerging markets are more volatile and speculative in nature. The heart of our study focuses on the East Asian economies, which have experienced massive capital inflows. This begs the question of whether or not the stock markets are efficient enough for further investment and development. Our paper differs from existing literature as it focuses on deriving weak form efficiency rankings during different business cycle phases. We endeavour further to assess the volatility and business cycle phases. Taking Malaysia, Indonesia, Singapore and South Korea owing to their economic and financial development, we use MF-DFA to derive efficiency rankings and find firstly, the overall efficiency has improved over the past two decades and secondly, markets are more efficient in growth phases in comparison to its preceding decline. Similarly, employing wavelet decomposition in conjunction with EGARCH, we obtain volatility of stock markets in two distinct time horizons, i.e. short term and long term. We find the markets to be more stable during economic boom than its preceding bust. Our results confer with mainstream literature.

The tremendous growth of emerging and developing markets brings forth new arenas of research. One untouched region is the study of business cycle comovements with stock market volatility within the Organization of Islamic Cooperation (OIC) member countries. The OIC comprises of several rapidly growing industries attracting several Foreign Direct Investments. The emerging nature of the markets and the rapid influx of Foreign Direct Investment bring about the question of how business cycles in the OIC member countries react to variations in the stock market. Taking 11 OIC member countries, we first derive their business cycle using the Christiano–Fitzgerald filter and then compare this to the decomposed (using wavelet) stock market volatility (using exponential generalized autoregressive conditional heteroscedasticity (EGARCH)) representing two timescales, short-term and long-term, to see the impact of business cycle phases on short-term and long-term traders. We find for several of our countries that stock...

In the current era of globalization, deregulation and liberalization of markets have led to financial integration amongst developing and developed countries. The sudden massive inflow of capital into developing country's stock markets begs the question of whether or not the markets are sufficiently efficient to handle the increasing integration of markets. Furthermore, the relationship between the integration and efficiency of stock markets tends to be of greater importance during economic downturns. Taking Turkey as a case study owing to its economic growth and importance in two successful blocs, i.e. the EU and the OIC, we attempt to analyse the linkages between stock market efficiency and integration during the different phases of the economy. The findings of our study provide an interesting insight into the relative improvement in volatility, efficiency and integration across business cycles, in a multi time scale analysis.

The Efficient Market Hypothesis has been the subject of considerable debate over the past several decades with a recent surge in interest in East Asian markets. This study investigates the East Asian economies, which have experienced massive capital inflows, inviting the question of whether these markets are efficient enough for further investment and development. We endeavour to assess the volatility and business cycle phases, providing a unique aspect in weak form efficiency studies. We focus on Malaysia, Indonesia, Singapore and South Korea due to their economic and financial development. Using Multifractal Detrended Fluctuation Analysis to study efficiency, we determine first that overall efficiency has improved over the past two decades and second that markets are more efficient in growth phases in comparison to their preceding decline. Our results concur with those reported in the mainstream literature.

The ripples of the financial crisis are still being felt over different parts of the world causing much distress to the real economy. The capital market, in particular, took a massive hit during the crisis plummeting to all-time lows. In the footsteps of globalization, a financial shock to the US capital market can cause a spill over effect to other markets, Islamic capital market included. Hence, this paper attempts to address the question whether Islamic indices are affected through fundamental changes or short-term influences by sudden changes in volatility as compared to their conventional counterparts. To empirically analyze this, we apply continuous wavelet technique to identify comovements between world financial indices and Islamic indices for World, Asia Pacific and Emerging Markets specifically. Covering a time period of 15 years (1997 – 2011), our results confer that Islamic indices in the Asia Pacific and Emerging Market region are partially immune to speculative shocks to global financial services making them a good alternative. Similarly, Islamic indices testified more stable due to their rigid screening criteria. © 2013 The IIUM Institute of Islamic Banking and Finance.

The Organization of Islamic Cooperation (OIC) comprises several rapidly growing industries attracting large sums of foreign direct investments. The emerging nature of the markets and the rapid influx of investments bring about the question of how the stock markets in OIC member countries react to variations in the economy. The objective of this chapter is to understand the relationship between business cycles and stock market volatility within the OIC member countries for short-term traders and long-term investors. The results showed that most of the OIC countries, being oil rich and dependent, saw its business cycle and stock markets fluctuating owing to drops and increases in world oil prices. All the countries in the sample were affected by the global crisis.

Analysing the market integration is an important part of understanding the economic nature of a stock market as it tells us its relationship with world markets and its effect based on movements in other markets. Organization of Islamic Cooperation (OIC) member countries, with higher volatility and greater market instability, are of particular interest in understanding how their markets would react to global or regional news. This chapter will analyse comparatively with developed markets the market integration of OIC member countries with the world average as well look into its regional integration.

The chapter provides a detailed description of the Organization of Islamic Cooperation (OIC) and its stock markets. As the second largest regional bloc, the OIC is home to several rapidly emerging markets and natural resources-rich countries. Despite this, out of the 57 member countries, only 33 have an active stock exchange. In these, there are significantly lower domestic companies listed as compared to other developing and emerging markets. Less liquid markets bring about an increased volatility, and an increased volatility is reflective of both shallowness and a lack of integration with global markets, indicating the main problem with OIC stock markets.

The unstable nature of business cycles makes it necessary to study the relationships between stock performance and economic activity. Novel to this multifaceted mix are Islamic equity markets which have witnessed tremendous growth over the last decade. This suggests a causal relationship between the performance of the stock market and business cycles. This study attempts to analyse the relationship between the volatility of Islamic stock indices and business cycles and assess how Islamic stock fairs compared with conventional stock indices. Spanning over 10 years, our results indicate that across regions, Islamic indices appeared to be more volatile during times of economic downturn and less volatile during the growth phase of a business cycle.