Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
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dc.contributor.authorCajueiro, Daniel Oliveira
dc.contributor.authorTabak, Benjamin Miranda
dc.date.accessioned2016-10-10T03:51:14Z-
dc.date.available2016-10-10T03:51:14Z-
dc.date.issued2004-11
dc.identifier.citationCAJUEIRO, 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.pt_BR
dc.identifier.urihttp://twingo.ucb.br:8080/jspui/handle/10869/340
dc.identifier.urihttps://repositorio.ucb.br:9443/jspui/handle/123456789/7366-
dc.description.abstractIn 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.pt_BR
dc.description.provenanceMade available in DSpace on 2016-10-10T03:51:14Z (GMT). No. of bitstreams: 5 Evidence of long range dependence in Asian equity markets_the role of liquidity and market restrictions.pdf: 249265 bytes, checksum: 9316ea0229f6f7a494b9156903216233 (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2004-11en
dc.formatTextopt_BR
dc.language.isoenpt_BR
dc.rightsAcesso Abertopt_BR
dc.subjectLong-range dependencept_BR
dc.subjectAsiapt_BR
dc.subjectTime varying Hurst's exponentpt_BR
dc.titleEvidence of long range dependence in Asian equity markets: the role of liquidity and market restrictionspt_BR
dc.typeArtigopt_BR
dc.description.versionSimpt_BR
dc.description.statusPublicadopt_BR
dc.journalPhysica Apt_BR
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