Use este identificador para citar ou linkar para este item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
Tipo: Artigo
Título: Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
Autor(es): Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: 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.
Palavras-chave: Long-range dependence
Asia
Time varying Hurst's exponent
Citação: 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.
Tipo de Acesso: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/340
https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
Data do documento: Nov-2004
Aparece nas coleções:PPG - Revistas e Artigos Científicos

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