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Type: Artigo
Title: Ranking efficiency for emerging markets
Authors: Tabak, Benjamim Miranda
Cajueiro, Daniel
Abstract: In this paper we test for long-range dependence and efficiency in stock indices for 11 emerging markets and also for the US and Japan. We employ a ‘‘rolling sample’’ approach and calculate median Hurst exponents, R=S and modified R=S statistics in order to assess relative efficiency of these equity markets. Our results suggest that Asian equity markets show greater inefficiency than those of Latin America (with the exception of Chile), and that developed markets rank first in terms of efficiency.
Citation: TABAK, B. M ; CAJUEIRO, D. O. . Ranking Efficiency for Emerging Markets. Chaos, Solitons and Fractals, v. 22, p. 349-352, 2004.
Access Type: Acesso Aberto
Document date: 24-Feb-2004
Appears in Collections:PPG - Revistas e Artigos Científicos

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