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Ranking efficiency for emerging markets. (English) Zbl 1090.91528

Summary: We test for long-range dependence and efficiency in stock indices for 11 emerging markets and also for the US and Japan. We employ a ”rolling sample” approach and calculate median Hurst exponents, \(R/S\) and modified \(R/S\) statistics in order to assess relative efficiency of these equity markets. Our results suggest that Asian equity markets show greater inefficiency than those of Latin America (with the exception of Chile), and that developed markets rank first in terms of efficiency.

MSC:

91B26 Auctions, bargaining, bidding and selling, and other market models

Citations:

Zbl 1091.91509
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References:

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