Frontier markets’ efficiency: mutual information and detrended fluctuation analyses
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 evi...
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| Veröffentlicht in: | Journal of economic interaction and coordination 2019-09, Vol.14 (3), p.551-572 |
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| container_title | Journal of economic interaction and coordination |
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| creator | Mohti, Wahbeeah Dionísio, Andreia Ferreira, Paulo Vieira, Isabel |
| description | 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. |
| doi_str_mv | 10.1007/s11403-018-0224-9 |
| format | Article |
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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. 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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. 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| language | eng |
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| subjects | Computer Appl. in Social and Behavioral Sciences Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Efficiency Finance Mathematical and Computational Physics Regular Article Theoretical |
| title | Frontier markets’ efficiency: mutual information and detrended fluctuation analyses |
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