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Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets


  • Aktham Maghyereh


The financial rates of return from Middle East and North African markets are found to be nonnormal, nonstationary and long-range dependent, i.e. they have long memory. The degree of long-term dependence is measured by Hurst exponents using local Whittle method which is a semi-parametric method that presents robustness to data seasonality and short-range dependence. Our long-term results are consistent with similar empirical findings from American, European and Asian financial markets. Therefore, the article extends the domain of the empirical investigation of the dynamics characteristics of the global financial markets and disproves the hypothesis of perfectly efficient financial markets.

Suggested Citation

  • Aktham Maghyereh, 2007. "Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(6), pages 365-371.
  • Handle: RePEc:taf:apfelt:v:3:y:2007:i:6:p:365-371 DOI: 10.1080/17446540701222417

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    References listed on IDEAS

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    7. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    8. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics.
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