IDEAS home Printed from https://ideas.repec.org/r/eee/ememar/v18y2014icp45-61.html
   My bibliography  Save this item

Do emerging markets become more efficient as they develop? Long memory persistence in equity indices

Citations

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


Cited by:

  1. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
  2. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).
  3. Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
  4. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
  5. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
  6. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  7. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
  8. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  9. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
  10. Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-16, January.
  11. Hooi Hooi Lean & Vinod Mishra & Russell Smyth, 2015. "Is investing in Islamic stocks profitable? Evidence from the Dow Jones Islamic market indexes," Monash Economics Working Papers 33-15, Monash University, Department of Economics.
  12. Boubaker, Sabri & Goodell, John W. & Pandey, Dharen Kumar & Kumari, Vineeta, 2022. "Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 48(C).
  13. Vinodh Madhavan & Rakesh Arrawatia, 2016. "Relative Efficiency of G8 Sovereign Credit Default Swaps and Bond Scrips: An Adaptive Market Hypothesis Perspective," Studies in Microeconomics, , vol. 4(2), pages 127-150, December.
  14. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
  15. Lee, Minhyuk & Song, Jae Wook & Kim, Sondo & Chang, Woojin, 2018. "Asymmetric market efficiency using the index-based asymmetric-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1278-1294.
  16. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
  17. Wang, Chuan & Murgulov, Zoltan & Haman, Janto, 2015. "Impact of changes in the CSI 300 Index constituents," Emerging Markets Review, Elsevier, vol. 24(C), pages 13-33.
  18. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
  19. Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.
  20. Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019. "Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach," Finance Research Letters, Elsevier, vol. 28(C), pages 398-411.
  21. Erhard Reschenhofer & Thomas Stark & Manveer K. Mangat, 2020. "Robust Estimation of the Memory Parameter," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-5.
  22. Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian, 2020. "Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 605-619, December.
  23. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
  24. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
  25. Tahmina Akhter & Othman Yong, 2021. "Can Adaptive Market Hypothesis Explain the Existence of Seasonal Anomalies? Evidence from Dhaka Stock Exchange, Bangladesh," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 15(2), April.
  26. Dejan Makovšek & Marian Moszoro, 2018. "Risk pricing inefficiency in public–private partnerships," Transport Reviews, Taylor & Francis Journals, vol. 38(3), pages 298-321, May.
  27. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
  28. Ibarra-Valdez, C. & Alvarez, J. & Alvarez-Ramirez, J., 2016. "Randomness confidence bands of fractal scaling exponents for financial price returns," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 119-124.
  29. Bahrawar Said & Shafiq Ur Rehman & Muhammad Wajid Raza, 2022. "Three Major Crises and Asian Emerging Market Informational Efficiency: A Case of Pakistan Stock Exchange-100 Index," JRFM, MDPI, vol. 15(12), pages 1-13, December.
  30. Ferrat, Yann & Daty, Frédéric & Burlacu, Radu, 2022. "Does a sustainability risk premium exist where it matters the most?," Emerging Markets Review, Elsevier, vol. 53(C).
  31. Erhard Reschenhofer & Manveer Kaur Mangat & Christian Zwatz & Sándor Guzmics, 2020. "Evaluation of current research on stock return predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 334-351, March.
  32. Andrew Urquhart, 2017. "How predictable are precious metal returns?," The European Journal of Finance, Taylor & Francis Journals, vol. 23(14), pages 1390-1413, November.
  33. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
  34. Batten, Jonathan A. & Kinateder, Harald & Wagner, Niklas, 2014. "Multifractality and value-at-risk forecasting of exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 71-81.
  35. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  36. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
  37. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
  38. Erasmus Kersting & Christopher Kilby, 2019. "Does the World Bank Move Markets?," Villanova School of Business Department of Economics and Statistics Working Paper Series 42, Villanova School of Business Department of Economics and Statistics.
  39. Mr. M. Awais Mehmood & Dr. Faisal Aftab & Dr. Hafiz Mushtaq, 2016. "Role Of Social Media Marketing (Smm) In Hei’S Admission," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 12(1), pages 12-10.
  40. Eduardo Fernandes Cazassa & Odilon Costa, 2017. "Real Estate Indices: the good and the bad," LARES lares_2017_paper_65, Latin American Real Estate Society (LARES).
  41. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
  42. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 11-14.
  43. Ghazani, Majid Mirzaee & Ebrahimi, Seyed Babak, 2019. "Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices," Finance Research Letters, Elsevier, vol. 30(C), pages 60-68.
  44. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
  45. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  46. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  47. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
  48. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 41-54.
  49. Guo, Yaoqi & Shi, Fengyuan & Yu, Zhuling & Yao, Shanshan & Zhang, Hongwei, 2022. "Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
  50. Mushinada, Venkata Narasimha Chary, 2020. "Are individual investors irrational or adaptive to market dynamics?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
  51. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  52. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
  53. Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016. "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, vol. 56(C), pages 168-176.
  54. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
  55. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.
  56. Laura Raisa Miloş & Cornel Haţiegan & Marius Cristian Miloş & Flavia Mirela Barna & Claudiu Boțoc, 2020. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets," Sustainability, MDPI, vol. 12(2), pages 1-15, January.
  57. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.