Do emerging markets become more efficient as they develop? Long memory persistence in equity indices

It seems reasonable to expect financial market efficiency to be related to the economic development level. We study a 16 year sample, covering 22 countries. The Hurst-Mandelbrot-Wallis rescaled range is our efficiency measure, which we apply to returns and volatility. We find strong evidence of long memory persistence in volatility over time, which is unsurprising. However, unlike previous researchers, we could not find evidence of rescaled ranges trending down over time. However, we introduce an alternative measure of economic development, namely, whether FTSE (2011) classify an emerging market as 'advanced' or 'secondary'. This measure shows greater efficiency in returns and volatility for 'advanced' emerging markets.