Frontier markets’ efficiency:mutual information and detrended fluctuation analyses

Detalhes bibliográficos
Autor(a) principal: Mothi, Wahbeeah
Data de Publicação: 2018
Outros Autores: Dionísio, Andreia, Ferreira, Paulo, Vieira, Isabel
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/23538
https://doi.org/10.1007/s11403-018-0224-9
Resumo: This study tests weak form efficiency in frontier markets. Mutual information and detrended fluctuation analyses are performed to assess global correlation and long range dependence in the stock markets of twenty three countries. The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The relatively less inefficient markets are mainly located in Europe and America, and the relatively more inefficient mainly in the Middle East. This information is useful for investors, but also for the assessed countries’ regulators as they indicate that relevant impediments are preventing the exploitation of potential profitable opportunities.
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spelling Frontier markets’ efficiency:mutual information and detrended fluctuation analysesMutual information analysisDetrended fluctuation analysisNon-linear dependenceWeak form efficientFrontier MarketsThis study tests weak form efficiency in frontier markets. Mutual information and detrended fluctuation analyses are performed to assess global correlation and long range dependence in the stock markets of twenty three countries. The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The relatively less inefficient markets are mainly located in Europe and America, and the relatively more inefficient mainly in the Middle East. This information is useful for investors, but also for the assessed countries’ regulators as they indicate that relevant impediments are preventing the exploitation of potential profitable opportunities.Springer2018-10-04T14:35:23Z2018-10-042018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/23538http://hdl.handle.net/10174/23538https://doi.org/10.1007/s11403-018-0224-9porMothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2018) Frontier markets’ efficiency:mutual information and detrended fluctuation analyses. Journal of Economic Interaction and Coordinationhttps://link.springer.com/article/10.1007%2Fs11403-018-0224-9beeah_awan@yahoo.comandreia@uevora.ptpjsf@uevora.ptimpvv@uevora.pt256Mothi, WahbeeahDionísio, AndreiaFerreira, PauloVieira, Isabelinfo: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:RCAAP2024-01-03T19:15:45Zoai:dspace.uevora.pt:10174/23538Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:14:22.165556Repositório 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 Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
title Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
spellingShingle Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
Mothi, Wahbeeah
Mutual information analysis
Detrended fluctuation analysis
Non-linear dependence
Weak form efficient
Frontier Markets
title_short Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
title_full Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
title_fullStr Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
title_full_unstemmed Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
title_sort Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
author Mothi, Wahbeeah
author_facet Mothi, Wahbeeah
Dionísio, Andreia
Ferreira, Paulo
Vieira, Isabel
author_role author
author2 Dionísio, Andreia
Ferreira, Paulo
Vieira, Isabel
author2_role author
author
author
dc.contributor.author.fl_str_mv Mothi, Wahbeeah
Dionísio, Andreia
Ferreira, Paulo
Vieira, Isabel
dc.subject.por.fl_str_mv Mutual information analysis
Detrended fluctuation analysis
Non-linear dependence
Weak form efficient
Frontier Markets
topic Mutual information analysis
Detrended fluctuation analysis
Non-linear dependence
Weak form efficient
Frontier Markets
description This study tests weak form efficiency in frontier markets. Mutual information and detrended fluctuation analyses are performed to assess global correlation and long range dependence in the stock markets of twenty three countries. The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The relatively less inefficient markets are mainly located in Europe and America, and the relatively more inefficient mainly in the Middle East. This information is useful for investors, but also for the assessed countries’ regulators as they indicate that relevant impediments are preventing the exploitation of potential profitable opportunities.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-04T14:35:23Z
2018-10-04
2018-01-01T00:00:00Z
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/10174/23538
http://hdl.handle.net/10174/23538
https://doi.org/10.1007/s11403-018-0224-9
url http://hdl.handle.net/10174/23538
https://doi.org/10.1007/s11403-018-0224-9
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2018) Frontier markets’ efficiency:mutual information and detrended fluctuation analyses. Journal of Economic Interaction and Coordination
https://link.springer.com/article/10.1007%2Fs11403-018-0224-9
beeah_awan@yahoo.com
andreia@uevora.pt
pjsf@uevora.pt
impvv@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 Springer
publisher.none.fl_str_mv Springer
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
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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