Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
Type: Artigo
Título : Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
Autor : Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Resumen : In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.
Palabras clave : Long-range dependence
Asia
Time varying Hurst's exponent
Citación : CAJUEIRO, D ; TABAK, B . Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions. Physica. A, v. 342, n. 3-4, p. 656-664, 2004.
Access Type: Acesso Aberto
URI : http://twingo.ucb.br:8080/jspui/handle/10869/340
https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
Fecha de publicación : nov-2004
Appears in Collections:PPG - Revistas e Artigos Científicos



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