Authors: Samson E. Edo
Addresses: Department of Economics, University of Benin, PMB 1154, Benin City, Nigeria
Abstract: This paper aims at determining the extent to which an emerging stock market can be dynamic in responding to investors' behaviour, adjusting to steady state, reacting to unanticipated changes, and predicting future activities. Vector auto-regressive model and vector error-correction model are specified to depict the emerging stock market. Estimation of the models produced results indicating significant response of the market driven by trading activities of domestic institutional investors and foreign investors, and a good predictability of future activities in the market. However, the adjustment speed of the market is unimpressive and its ability to absorb unanticipated changes appears low. The implications of these findings are quite clear. Investors have become very active in the market and future trend of activities in the market has become more predictable, but efficiency and resilience of the market remain weak. Appropriate policies may therefore be deployed to further enhance development of the market.
Keywords: stock markets; domestic investors; foreign investors; emerging economies; China; market efficiency; market resilience.
International Journal of Business and Emerging Markets, 2014 Vol.6 No.3, pp.247 - 270
Available online: 24 Jul 2014 *Full-text access for editors Access for subscribers Purchase this article Comment on this article