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An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

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  • Mensi, Walid
  • Tiwari, Aviral Kumar
  • Al-Yahyaee, Khamis Hamed

Abstract

This study investigates the time varying efficiency of five European GIPSI stock markets, compared to global and regional U.S. markets. Using the MF-DFA approach, we show evidence of long memory in both short and long term for all markets. Furthermore, the long memory is more pronounced in the long term than in the short term. Finally, Greece is the highest inefficient market, whatever is the time horizons, while Portugal and Ireland markets are the least inefficient in the short and long term, respectively. Global and regional stock markets are less efficient than GIPSI (except Greece) markets in the short term.

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  • Mensi, Walid & Tiwari, Aviral Kumar & Al-Yahyaee, Khamis Hamed, 2019. "An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 168-177.
    • Handle: RePEc:eee:quaeco:v:72:y:2019:i:c:p:168-177
    DOI: 10.1016/j.qref.2018.12.001
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    More about this item

    Keywords

    Stock markets; Multifractality; Long memory; Efficiency; MF-DFA; Hurst exponent;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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