Advanced Search
MyIDEAS: Login

Hurst's exponent behaviour, weak-form stock market efficiency and financial liberalization: the Tunisian case

Contents:

Author Info

  • Chaker Aloui

    ()
    (IFGT)

  • Ben hamida Hela

    ()
    (FDSEPS)

Abstract

In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Our empirical approach is founded on the analysis of the behaviour over time of the Hurst's exponent. Thus, we computed the Hurst's exponent using a “rolling sample” with a time window of 4 years. The sample data covers in daily frequency the period (January, 1997- October 2007). Since the classical R/S analysis is strongly affected by short-range dependencies both in the mean and the conditional variance of TSE daily volatility, daily stock returns were filtered using the traditional AR-GARCH(1,1) model. Our results for Hurst's and filtered Hurst's exponents behaviour analysis show a strong evidence of long-range dependence with persistent behaviour of the TSE. However, during the last two years, the filtered Hurst's exponent seems to exhibit a switching regime behaviour with alternating persistent and antipersistent behaviour but where it was somewhat close to 0.5.The nonparametric statistic approach results reveal that some TSE reforms including the launching of the Electronic quotation system on April, 1998, the fiscal regime for holdings, the security reinforcement laws, the legal protection of minority shareholder may play a role in understanding the Hurst's exponent behaviour over time

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I1-P80.pdf
Download Restriction: no

Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 1 ()
Pages: 830-843

as in new window
Handle: RePEc:ebl:ecbull:eb-10-00194

Contact details of provider:

Related research

Keywords: financial reforms; long-range dependence; weak-form efficiency; Hurst's exponent; rolling sample approach.;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
  2. repec:ebl:ecbull:v:7:y:2007:i:1:p:1-11 is not listed on IDEAS
  3. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
  4. Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-10-00194. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.