Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel Oliveira
Data de Publicação: 2004
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/340
https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
Resumo: In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.
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spelling Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:14Z2016-10-10T03:51:14Z2004-11CAJUEIRO, D ; TABAK, B . Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions. Physica. A, v. 342, n. 3-4, p. 656-664, 2004.http://twingo.ucb.br:8080/jspui/handle/10869/340https://repositorio.ucb.br:9443/jspui/handle/123456789/7366In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.Made available in DSpace on 2016-10-10T03:51:14Z (GMT). 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dc.title.pt_BR.fl_str_mv Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
title Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
spellingShingle Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
Cajueiro, Daniel Oliveira
Long-range dependence
Asia
Time varying Hurst's exponent
title_short Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
title_full Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
title_fullStr Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
title_full_unstemmed Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
title_sort Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
author Cajueiro, Daniel Oliveira
author_facet Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv Long-range dependence
Asia
Time varying Hurst's exponent
topic Long-range dependence
Asia
Time varying Hurst's exponent
dc.description.abstract.por.fl_txt_mv In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.
publishDate 2004
dc.date.issued.fl_str_mv 2004-11
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:14Z
dc.date.available.fl_str_mv 2016-10-10T03:51:14Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv CAJUEIRO, D ; TABAK, B . Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions. Physica. A, v. 342, n. 3-4, p. 656-664, 2004.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/340
https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
identifier_str_mv CAJUEIRO, D ; TABAK, B . Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions. Physica. A, v. 342, n. 3-4, p. 656-664, 2004.
url http://twingo.ucb.br:8080/jspui/handle/10869/340
https://repositorio.ucb.br:9443/jspui/handle/123456789/7366
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