Generalized Hurst exponent approach to efficiency in MENA markets

被引：54
|
作者：
Sensoy, A. [1 ,2 ]
机构：
[1] Borsa Istanbul, Res Dept, Resitpasa Mahallesi, TR-34467 Istanbul, Turkey
[2] Bilkent Univ, Dept Math, TR-06800 Ankara, Turkey
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2013年 / 392卷 / 20期
关键词：
MENA; Generalized Hurst exponent; Rolling window; Market efficiency; LONG-RANGE DEPENDENCE; SWITCHING MULTIFRACTAL MODEL; STOCK MARKETS; VOLATILITY; BEHAVIOR;
D O I：
10.1016/j.physa.2013.06.041
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：5019 / 5026
页数：8
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