Please use this identifier to cite or link to this item:

Title: Frontier markets’ efficiency:mutual information and detrended fluctuation analyses
Authors: Mothi, Wahbeeah
Dionísio, Andreia
Ferreira, Paulo
Vieira, Isabel
Keywords: Mutual information analysis
Detrended fluctuation analysis
Non-linear dependence
Weak form efficient
Frontier Markets
Issue Date: 2018
Publisher: Springer
Citation: Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2018) Frontier markets’ efficiency:mutual information and detrended fluctuation analyses. Journal of Economic Interaction and Coordination
Abstract: 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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

Files in This Item:

File Description SizeFormat
Abstract JEIC.pdf405.94 kBAdobe PDFView/Open
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Dspace Dspace
DSpace Software, version 1.6.2 Copyright © 2002-2008 MIT and Hewlett-Packard - Feedback
UEvora B-On Curriculum DeGois