Please use this identifier to cite or link to this item:
|Title: ||Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece|
|Authors: ||Ferreira, Paulo|
|Keywords: ||serial dependence|
|Issue Date: ||2014|
|Publisher: ||Taylor and Francis|
|Citation: ||Ferreira, P. A. Dionísio (2014), "Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece", Applied Financial Economics, 24(5), 319-331.|
|Abstract: ||This article uses several tests to analyse serial dependence in financial data, trying
to confirm the existence of some kind of nonlinear dependence in stock markets.
In an attempt to provide a better explanation of the behaviour of stock markets, we
used tests based on mutual information and detrended fluctuation analysis (DFA).
Applying these tests to the series of stock market indexes of 10 countries, we
concluded for the absence of linear autocorrelation. However, with other tests, we
found nonlinear serial dependence that affects the rates of return. With DFA, we
found out that most return rate series have long-range dependence, which appears
to be more pronounced for Spain, Greece and Portugal. To confirm the inefficiency
of those markets, based on our results, we should prove the existence of
|Appears in Collections:||CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.