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Article
Publication date: 7 August 2019

Trang Nguyen, Taha Chaiechi, Lynne Eagle and David Low

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…

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Abstract

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.

Details

Journal of Asian Business and Economic Studies, vol. 27 no. 1
Type: Research Article
ISSN: 2515-964X

Keywords

Available. Content available
Article
Publication date: 3 October 2016

Lynne Eagle and Stephan Dahl

378

Abstract

Details

Marketing Intelligence & Planning, vol. 34 no. 7
Type: Research Article
ISSN: 0263-4503

Available. Content available
Article
Publication date: 1 December 2006

234

Abstract

Details

Journal of Product & Brand Management, vol. 15 no. 7
Type: Research Article
ISSN: 1061-0421

Available. Content available
Article
Publication date: 27 November 2007

Dr Brian Young

260

Abstract

Details

Young Consumers, vol. 8 no. 4
Type: Research Article
ISSN: 1747-3616

Available. Content available
Article
Publication date: 1 July 2006

Per V. Jenster

1041

Abstract

Details

European Journal of Marketing, vol. 40 no. 7/8
Type: Research Article
ISSN: 0309-0566

Keywords

Available. Content available
Article
Publication date: 6 February 2007

John Dalrymple

528

Abstract

Details

Quality Assurance in Education, vol. 15 no. 1
Type: Research Article
ISSN: 0968-4883

Available. Content available
Article
Publication date: 11 October 2011

399

Abstract

Details

Journal of Social Marketing, vol. 1 no. 3
Type: Research Article
ISSN: 2042-6763

Available. Content available
Book part
Publication date: 7 December 2017

Eva Tutchell and John Edmonds

Abstract

Details

The Stalled Revolution: Is Equality for Women an Impossible Dream?
Type: Book
ISBN: 978-1-78714-602-0

Available. Content available
Book part
Publication date: 11 March 2025

Eva Tutchell and John Edmonds

Abstract

Details

The Stalled Revolution: Is Equality for Women an Impossible Dream?
Type: Book
ISBN: 978-1-83549-193-5

Available. Content available
Book part
Publication date: 11 December 2023

Gráinne Perkins

Free Access. Free Access

Abstract

Details

Danger in Police Culture
Type: Book
ISBN: 978-1-83753-113-4

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