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Measuring capital market efficiency: Global and local correlations structure

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  1. Ladislav Kristoufek & Miloslav Vosvrda, 2014. "Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(7), pages 1-9, July.
  2. Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
  3. Tiwari, Aviral Kumar & Kumar, Satish & Pathak, Rajesh & Roubaud, David, 2019. "Testing the oil price efficiency using various measures of long-range dependence," Energy Economics, Elsevier, vol. 84(C).
  4. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
  5. Tiwari, Aviral Kumar & Jana, R.K. & Das, Debojyoti & Roubaud, David, 2018. "Informational efficiency of Bitcoin—An extension," Economics Letters, Elsevier, vol. 163(C), pages 106-109.
  6. 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.
  7. Miguel Ángel Sánchez & Juan E Trinidad & José García & Manuel Fernández, 2015. "The Effect of the Underlying Distribution in Hurst Exponent Estimation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-17, May.
  8. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
  9. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
  10. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
  11. Huang, Menghao & Shao, Wei & Wang, Jian, 2023. "Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries," Resources Policy, Elsevier, vol. 80(C).
  12. Li, Yiying & Ren, Xiaohang & Taghizadeh-Hesary, Farhad, 2023. "Vulnerability of sustainable markets to fossil energy shocks," Resources Policy, Elsevier, vol. 85(PB).
  13. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, vol. 12(4), pages 1-30, February.
  14. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
  15. Kristoufek, Ladislav & Vosvrda, Miloslav, 2016. "Gold, currencies and market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 27-34.
  16. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
  17. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
  18. Natália Costa & César Silva & Paulo Ferreira, 2019. "Long-Range Behaviour and Correlation in DFA and DCCA Analysis of Cryptocurrencies," IJFS, MDPI, vol. 7(3), pages 1-12, September.
  19. Snezana Radukic & Zoran Mastilo & Zorana Kostic & Ljubisa Vladusic, 2019. "Measuring of The Goods and Labor Markets Efficiency: Comparative Study of Western Balkan Countries," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(2), pages 95-109.
  20. 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.
  21. Avishek Bhandari & Bandi Kamaiah, 2020. "Long memory in select stock returns using an alternative wavelet log-scale alignment approach," Papers 2004.08550, arXiv.org.
  22. DIMA, Bogdan & DIMA, Ştefana Maria & IOAN, Roxana, 2021. "Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX," Finance Research Letters, Elsevier, vol. 43(C).
  23. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
  24. Lagunas Puls, Sergio, 2022. "Fractalidad implícita en el comercio internacional [Implicit fractality in international trade]," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 33(1), pages 226-241, June.
  25. 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.
  26. Li, Daye & Kou, Zhun & Sun, Qiankun, 2015. "The scale-dependent market trend: Empirical evidences using the lagged DFA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 26-35.
  27. 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.
  28. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Papers 2105.09140, arXiv.org, revised Sep 2021.
  29. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
  30. Kristoufek, Ladislav, 2018. "On Bitcoin markets (in)efficiency and its evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 257-262.
  31. Martínez Patiño, Manuel Andrés & Ariza Garzón, Miller Janny & Cadena Lozano, Javier Bernardo, 2021. "Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 66-82, December.
  32. Subhamitra Patra & Gourishankar S. Hiremath, 2022. "An Entropy Approach to Measure the Dynamic Stock Market Efficiency," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(2), pages 337-377, June.
  33. 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.
  34. Bariviera, Aurelio F., 2021. "One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles," Finance Research Letters, Elsevier, vol. 39(C).
  35. Khalfaoui, Rabeh, 2018. "Oil–gold time varying nexus: A time–frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 86-104.
  36. David, S.A. & Inácio, C.M.C. & Quintino, D.D. & Machado, J.A.T., 2020. "Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension," Energy Economics, Elsevier, vol. 85(C).
  37. 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.
  38. Ioan Roxana, 2020. "Capital Market Correlations Structure During The Covid-19 Crisis," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 67-79, December.
  39. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
  40. Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019. "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 105-120.
  41. Bhandari, Avishek, 2020. "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper 101946, University Library of Munich, Germany.
  42. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
  43. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
  44. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
  45. Ma, Feng & Wei, Yu & Huang, Dengshi & Chen, Yixiang, 2014. "Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 171-180.
  46. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Hanif, Waqas & Kayani, Ghulam Mujtaba, 2018. "Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 433-450.
  47. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Working Papers hal-03230167, HAL.
  48. Aloosh, Arash & Choi, Hyung-Eun & Ouzan, Samuel, 2023. "The tail wagging the dog: How do meme stocks affect market efficiency?," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 68-78.
  49. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  50. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
  51. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
  52. Rui Pascoal & Ana Margarida Monteiro, 2013. "Market Efficiency, Roughness and Long Memory in the PSI20 Index Returns: Wavelet and Entropy Analysis," GEMF Working Papers 2013-27, GEMF, Faculty of Economics, University of Coimbra.
  53. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
  54. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
  55. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
  56. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  57. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
  58. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
  59. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
  60. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2020. "Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis," JRFM, MDPI, vol. 13(10), pages 1-18, October.
  61. Todea, Alexandru & Pleşoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
  62. Nils Bundi & Marc Wildi, 2019. "Bitcoin and market-(in)efficiency: a systematic time series approach," Digital Finance, Springer, vol. 1(1), pages 47-65, November.
  63. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
  64. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  65. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
  66. Assaf, Ata & Kristoufek, Ladislav & Demir, Ender & Kumar Mitra, Subrata, 2021. "Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  67. David Schröder, 2020. "The role of market efficiency on implied cost of capital estimates: an international perspective," Annals of Finance, Springer, vol. 16(4), pages 463-499, December.
  68. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
  69. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Some Notes on the Formation of a Pair in Pairs Trading," Mathematics, MDPI, vol. 8(3), pages 1-17, March.
  70. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
  71. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Mefteh-Wali, Salma & Owusu, Patrick, 2023. "Measuring price efficiency in petroleum markets: New insights using various long-range dependence techniques," Resources Policy, Elsevier, vol. 82(C).
  72. Ferreira, Paulo, 2018. "Efficiency or speculation? A time-varying analysis of European sovereign debt," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1295-1308.
  73. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.
  74. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.
  75. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  76. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
  77. Mahata, Ajit & Bal, Debi Prasad & Nurujjaman, Md, 2020. "Identification of short-term and long-term time scales in stock markets and effect of structural break," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  78. Ferreira, Paulo & Quintino, Derick & Wundervald, Bruna & Dionísio, Andreia & Aslam, Faheem & Cantarinha, Ana, 2021. "Is Brazilian music getting more predictable? A statistical physics approach for different music genres," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
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