Ranking efficiency for emerging markets

被引：150

作者：

Cajueiro, DO ^{[1
]}

Tabak, BM ^{[1
]}

机构：

[1] Univ Catolica Brasilia, Modulo B, Mestrado Econ Empresas, BR-70790160 Asa Norte, DF, Brazil

来源：

CHAOS SOLITONS & FRACTALS | 2004年 / 22卷 / 02期

关键词：

D O I：

10.1016/j.chaos.2004.02.005

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper we test for long-range dependence and efficiency in stock indices for I I 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. (C) 2004 Elsevier Ltd. All rights reserved.

引用

页码：349 / 352

页数：4

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