The Stock Exchange of Suriname: Returns, Volatility, Correlations and Weak-form Efficiency
The empirical properties of stock returns are studied for 10 companies listed at the Suriname Stock Exchange (SSE), which is a young and growing stock market. Individual stock returns are found to be predictable from the own past to some extent, but the equal-weighted index returns are not. Dynamic correlations with large Latin-American stock markets appear to be zero. It is concluded that there is much more efficiency to be gained for the SSE.
|Keywords||emerging markets, developing countries, returns, volatility, market weak-form efficiency|
|JEL||International Financial Markets (jel G15), Information and Market Efficiency; Event Studies (jel G14)|
|Series||Econometric Institute Research Papers|
|Note||Rapport EI 2014-02|
Bodeutsch, D.S, & Franses, Ph.H.B.F. (2014). The Stock Exchange of Suriname: Returns, Volatility, Correlations and Weak-form Efficiency (No. EI 2014-02). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/50639