Testing for long-range dependence in world stock markets
Autor(a) principal: | |
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Data de Publicação: | 2008 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://twingo.ucb.br:8080/jspui/handle/10869/333 https://repositorio.ucb.br:9443/jspui/handle/123456789/7353 |
Resumo: | In this paper, we show a novel approach to rank stock market indices in terms of weak form efficiency using state of the art methodology in statistical physics. We employ the R/S and V/S methodologies to test for long-range dependence in equity returns and volatility. Empirical results suggests that although emerging markets possess stronger long-range dependence in equity returns than developed economies, this is not true for volatility. In the case of volatility, Hurst exponents are substantially high for both classes of countries, which indicates that traditional option prices such as the Black and Scholes model are misspecified. These findings have important implications for both portfolio and risk management. |
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Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:12Z2016-10-10T03:51:12Z2008CAJUEIRO, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for long range dependence on world stock markets. Chaos, Solitons and Fractals , v. 37, p. 918-927, 2008.http://twingo.ucb.br:8080/jspui/handle/10869/333https://repositorio.ucb.br:9443/jspui/handle/123456789/7353In this paper, we show a novel approach to rank stock market indices in terms of weak form efficiency using state of the art methodology in statistical physics. We employ the R/S and V/S methodologies to test for long-range dependence in equity returns and volatility. Empirical results suggests that although emerging markets possess stronger long-range dependence in equity returns than developed economies, this is not true for volatility. In the case of volatility, Hurst exponents are substantially high for both classes of countries, which indicates that traditional option prices such as the Black and Scholes model are misspecified. These findings have important implications for both portfolio and risk management.Made available in DSpace on 2016-10-10T03:51:12Z (GMT). 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dc.title.pt_BR.fl_str_mv |
Testing for long-range dependence in world stock markets |
title |
Testing for long-range dependence in world stock markets |
spellingShingle |
Testing for long-range dependence in world stock markets Cajueiro, Daniel Oliveira |
title_short |
Testing for long-range dependence in world stock markets |
title_full |
Testing for long-range dependence in world stock markets |
title_fullStr |
Testing for long-range dependence in world stock markets |
title_full_unstemmed |
Testing for long-range dependence in world stock markets |
title_sort |
Testing for long-range dependence in world stock markets |
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.description.abstract.por.fl_txt_mv |
In this paper, we show a novel approach to rank stock market indices in terms of weak form efficiency using state of the art methodology in statistical physics. We employ the R/S and V/S methodologies to test for long-range dependence in equity returns and volatility. Empirical results suggests that although emerging markets possess stronger long-range dependence in equity returns than developed economies, this is not true for volatility. In the case of volatility, Hurst exponents are substantially high for both classes of countries, which indicates that traditional option prices such as the Black and Scholes model are misspecified. These findings have important implications for both portfolio and risk management. |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
In this paper, we show a novel approach to rank stock market indices in terms of weak form efficiency using state of the art methodology in statistical physics. We employ the R/S and V/S methodologies to test for long-range dependence in equity returns and volatility. Empirical results suggests that although emerging markets possess stronger long-range dependence in equity returns than developed economies, this is not true for volatility. In the case of volatility, Hurst exponents are substantially high for both classes of countries, which indicates that traditional option prices such as the Black and Scholes model are misspecified. These findings have important implications for both portfolio and risk management. |
publishDate |
2008 |
dc.date.issued.fl_str_mv |
2008 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:51:12Z |
dc.date.available.fl_str_mv |
2016-10-10T03:51:12Z |
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, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for long range dependence on world stock markets. Chaos, Solitons and Fractals , v. 37, p. 918-927, 2008. |
dc.identifier.uri.fl_str_mv |
http://twingo.ucb.br:8080/jspui/handle/10869/333 https://repositorio.ucb.br:9443/jspui/handle/123456789/7353 |
identifier_str_mv |
CAJUEIRO, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for long range dependence on world stock markets. Chaos, Solitons and Fractals , v. 37, p. 918-927, 2008. |
url |
http://twingo.ucb.br:8080/jspui/handle/10869/333 https://repositorio.ucb.br:9443/jspui/handle/123456789/7353 |
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eng |
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