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Frontier markets’ efficiency: mutual information and detrended fluctuation analyses

Author

Listed:
  • Wahbeeah Mohti

    (Universidade de Évora)

  • Andreia Dionísio

    (Universidade de Évora)

  • Paulo Ferreira

    (Instituto Politécnico de Portalegre, Escola Superior Agrária de Elvas)

  • Isabel Vieira

    (Universidade de Évora)

Abstract

This study tests weak form efficiency in frontier markets. Mutual information and detrended fluctuation analyses are performed to assess global correlation and long range dependence in the stock markets of twenty three countries. The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The relatively less inefficient markets are mainly located in Europe and America, and the relatively more inefficient mainly in the Middle East. This information is useful for investors, but also for the assessed countries’ regulators as they indicate that relevant impediments are preventing the exploitation of potential profitable opportunities.

Suggested Citation

  • Wahbeeah Mohti & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2019. "Frontier markets’ efficiency: mutual information and detrended fluctuation analyses," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 551-572, September.
    • Handle: RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0224-9
    DOI: 10.1007/s11403-018-0224-9
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    Cited by:

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    4. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).

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