Non-linear dependencies in African stock markets: Was subprime crisis an important factor?

• Autor(a) principal: Ferreira, Paulo
• Data de Publicação: 2018
• Outros Autores: Dionisio, Andreia, Correia, José
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10174/23962; https://doi.org/Ferreira, P, Dionísio, A. e Correia, J. (2018). “Non-linear dependencies in African stock markets: Was subprime crisis an important factor?”. Physica A: Statistical Mechanics and its Applications, 505, 680-687 (doi.org/10.1016/j.physa.2018.03.060); https://doi.org/doi.org/10.1016/j.physa.2018.03.060
• topic: African Stock markets; Long range dependence; Hurst exponent

The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear or non-linear ones. Are there significant differences in terms of results compared to the major international markets? Results point to an affirmative answer. The Hurst exponent shows that long-term dependence is probably linked not only to size or liquidity.