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Title: Non-linear dependencies in African stock markets: Was subprime crisis an important factor?
Authors: Ferreira, Paulo
Dionisio, Andreia
Correia, José
Keywords: African Stock markets
Long range dependence
Hurst exponent
Issue Date: 2018
Publisher: Elsevier
Citation: Ferreira, P, Dionísio, A. e Correia, J. (2018). “Non-linear dependencies in African stock markets: Was subprime crisis an important factor?”. Physica A: Statistical Mechanics and its Applications, 505, 680-687 (
Abstract: The historical dependence in stock markets it is a very explored issue, especially in developed markets. In this paper we try to address the question of global dependency in African stock markets, and for that purpose we use a global approach able to capture the long-term dependencies being linear or non-linear ones. Are there significant differences in terms of results compared to the major international markets? Results point to an affirmative answer. The Hurst exponent shows that long-term dependence is probably linked not only to size or liquidity.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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