Ranking efficiency for emerging equity markets II

被引：95
|
作者：
Cajueiro, DO [1 ]
Tabak, BM [1 ]
机构：
[1] Univ Catolica Brasilia, BR-70790160 Asa Norte, DF, Brazil
来源：
CHAOS SOLITONS & FRACTALS | 2005年 / 23卷 / 02期
关键词：
D O I：
10.1016/j.chaos.2004.05.009
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper employs a "rolling sample" approach to estimate Hurst exponents for emerging markets squared and absolute returns. The findings suggests that these markets possess strong long-range dependence in volatility. Empirical results suggest that Asian equity markets are more efficient than those of Latin America and that the US is the most efficient country. (C) 2004 Elsevier Ltd. All rights reserved.
引用
收藏
页码：671 / 675
页数：5
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