The Stock Exchange of Suriname: Returns, Volatility, Correlations, and Weak-Form Efficiency

ABSTRACT

The empirical properties of stock returns are studied for ten 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.

KEY WORDS:

• developing countries
• emerging markets
• market weak-form efficiency
• returns, volatility

Acknowledgments

The authors thank three anonymous referees for their detailed comments and the editor (Professor Kutan) for encouragement. The data series can be obtained from the authors upon request. Further details on the data and additional graphs can be found in the companion working paper, Econometric Institute Report 2014–02, Erasmus School of Economics.