Ranking efficiency for emerging markets

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamim Miranda
Data de Publicação: 2004
Outros Autores: Cajueiro, Daniel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/717
https://repositorio.ucb.br:9443/jspui/handle/123456789/7916
Resumo: 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.
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spelling Tabak, Benjamim MirandaCajueiro, Daniel2016-10-10T03:53:05Z2016-10-10T03:53:05Z2004-02-24TABAK, B. M ; CAJUEIRO, D. O. . Ranking Efficiency for Emerging Markets. Chaos, Solitons and Fractals, v. 22, p. 349-352, 2004.http://twingo.ucb.br:8080/jspui/handle/10869/717https://repositorio.ucb.br:9443/jspui/handle/123456789/7916In 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.Made available in DSpace on 2016-10-10T03:53:05Z (GMT). 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dc.title.pt_BR.fl_str_mv Ranking efficiency for emerging markets
title Ranking efficiency for emerging markets
spellingShingle Ranking efficiency for emerging markets
Tabak, Benjamim Miranda
title_short Ranking efficiency for emerging markets
title_full Ranking efficiency for emerging markets
title_fullStr Ranking efficiency for emerging markets
title_full_unstemmed Ranking efficiency for emerging markets
title_sort Ranking efficiency for emerging markets
author Tabak, Benjamim Miranda
author_facet Tabak, Benjamim Miranda
Cajueiro, Daniel
author_role author
author2 Cajueiro, Daniel
author2_role author
dc.contributor.author.fl_str_mv Tabak, Benjamim Miranda
Cajueiro, Daniel
dc.description.abstract.por.fl_txt_mv 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.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description 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.
publishDate 2004
dc.date.issued.fl_str_mv 2004-02-24
dc.date.accessioned.fl_str_mv 2016-10-10T03:53:05Z
dc.date.available.fl_str_mv 2016-10-10T03:53:05Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.citation.fl_str_mv TABAK, B. M ; CAJUEIRO, D. O. . Ranking Efficiency for Emerging Markets. Chaos, Solitons and Fractals, v. 22, p. 349-352, 2004.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/717
https://repositorio.ucb.br:9443/jspui/handle/123456789/7916
identifier_str_mv TABAK, B. M ; CAJUEIRO, D. O. . Ranking Efficiency for Emerging Markets. Chaos, Solitons and Fractals, v. 22, p. 349-352, 2004.
url http://twingo.ucb.br:8080/jspui/handle/10869/717
https://repositorio.ucb.br:9443/jspui/handle/123456789/7916
dc.language.iso.fl_str_mv eng
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