Chapter 13

Structural Breaks, Efficiency, and Volatility: An Empirical Investigation of Southeast Asian Frontier Markets

P. Andrikopoulos*
D.L.T. Anh**
M.K. Newaz**    Coventry Business School, Coventry, United Kingdom**    School of Banking and Finance, National Economics University, Hanoi, Vietnam

Abstract

The purpose of this study is to examine the presence of structural breaks, efficiency, and volatility in the frontier markets of Southeast Asia. Using daily and weekly returns of four composite indices (VN Index, HNX Index, LSX Index, and CSX Index), we measure the presence of price volatility in the markets of Vietnam, Laos, and Cambodia. Our findings from all tests—unit root, autocorrelation, run, and variance ratio—suggest that the Vietnamese ...

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