Non-linear dependencies in African stock markets: Was subprime crisis an important factor?
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
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 |
Resumo: | 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. |
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Non-linear dependencies in African stock markets: Was subprime crisis an important factor?African Stock marketsLong range dependenceHurst exponentThe 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.Elsevier2019-01-09T17:25:06Z2019-01-092018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/23962https://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)http://hdl.handle.net/10174/23962https://doi.org/doi.org/10.1016/j.physa.2018.03.060porpjsf@uevora.ptandreia@uevora.ptjec@uevora.pt256Ferreira, PauloDionisio, AndreiaCorreia, Joséinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:16:31Zoai:dspace.uevora.pt:10174/23962Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:14:41.044183Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
title |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
spellingShingle |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? Ferreira, Paulo African Stock markets Long range dependence Hurst exponent |
title_short |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
title_full |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
title_fullStr |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
title_full_unstemmed |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
title_sort |
Non-linear dependencies in African stock markets: Was subprime crisis an important factor? |
author |
Ferreira, Paulo |
author_facet |
Ferreira, Paulo Dionisio, Andreia Correia, José |
author_role |
author |
author2 |
Dionisio, Andreia Correia, José |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Ferreira, Paulo Dionisio, Andreia Correia, José |
dc.subject.por.fl_str_mv |
African Stock markets Long range dependence Hurst exponent |
topic |
African Stock markets Long range dependence Hurst exponent |
description |
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. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-01-01T00:00:00Z 2019-01-09T17:25:06Z 2019-01-09 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
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) http://hdl.handle.net/10174/23962 https://doi.org/doi.org/10.1016/j.physa.2018.03.060 |
url |
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 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
pjsf@uevora.pt andreia@uevora.pt jec@uevora.pt 256 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799136628391804928 |