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
相关论文
共 50 条
  • [41] Private Equity in Emerging Markets: Stacking Up the BRICs
    Klonowski, Darek
    JOURNAL OF PRIVATE EQUITY, 2011, 14 (03): : 24 - 37
  • [42] Herding and the role of foreign institutions in emerging equity markets
    Chang, Charles
    PACIFIC-BASIN FINANCE JOURNAL, 2010, 18 (02) : 175 - 185
  • [43] The Evolution of Private Equity in Emerging Markets: The Case of Poland
    Klonowski, Darek
    JOURNAL OF APPLIED CORPORATE FINANCE, 2011, 23 (04) : 60 - +
  • [44] EMERGING EQUITY MARKETS - GROWTH, BENEFITS, AND POLICY CONCERNS
    FELDMAN, RA
    KUMAR, MS
    WORLD BANK RESEARCH OBSERVER, 1995, 10 (02): : 181 - 200
  • [45] Equity premia in emerging markets: National characteristics as determinants
    Aggarwal, Raj
    Goodell, John W.
    JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2008, 18 (04) : 389 - 404
  • [46] Why Not Diversify into Emerging Equity Markets via ADRs?
    Yuan, Tian
    Gupta, Rakesh
    Roca, Eduardo
    JOURNAL OF INVESTING, 2016, 25 (02): : 18 - 27
  • [47] EMERGING EQUITY MARKETS IN MIDDLE-EASTERN COUNTRIES
    ELERIAN, MA
    KUMAR, MS
    INTERNATIONAL MONETARY FUND STAFF PAPERS, 1995, 42 (02): : 313 - 343
  • [48] Evolution of Information Efficiency in Emerging Markets
    Sakalauskas, Virgilijus
    Kriksciuniene, Dalia
    SOFT COMPUTING MODELS IN INDUSTRIAL AND ENVIRONMENTAL APPLICATIONS, 6TH INTERNATIONAL CONFERENCE SOCO 2011, 2011, 87 : 367 - 377
  • [49] There's no need to be a pioneer in emerging private equity markets
    Sannajust, Aurelie
    Groh, Alexander Peter
    JOURNAL OF CORPORATE FINANCE, 2020, 65
  • [50] Portfolio allocations and the emerging equity markets of Central Europe
    Gilmore, Claire G.
    McManus, Ginette M.
    Tezel, Ahmet
    JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2005, 15 (03) : 287 - 300
12345