An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

The Quarterly Review of Economics and Finance - Tập 72 - Trang 168-177 - 2019
Walid Mensi1,2, Aviral Kumar Tiwari3, Khamis Hamed Al-Yahyaee2
1Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia
2Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman
3Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France

Tài liệu tham khảo

Ahmad, 2013, Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?, Economic Modelling, 33, 209, 10.1016/j.econmod.2013.04.009 Al-Yahyaee, 2018, Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets, Finance Research Letters, 10.1016/j.frl.2018.03.017 Anagnostidis, 2016, Has the 2008 financial crisis affected stock market efficiency?’ The case of Eurozone, Physica A, 447, 116, 10.1016/j.physa.2015.12.017 Aumeboonsuke, 2014, The importance of using a test of weak-form market efficiency that does not require investigating the data first, International Review of Economics & Finance, 33, 350, 10.1016/j.iref.2014.02.009 Barkoulas, 2000, Long memory in the Greek stock market, Applied Financial Economics, 10, 177, 10.1080/096031000331815 Bianch, 2018, Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets, Chaos, Solitons, and Fractals, 109, 64, 10.1016/j.chaos.2018.02.015 Booth, 1998, Volatility and autocorrelation in major European stock markets, European Journal of Finance, 4, 61, 10.1080/13518479800000003 Cajueiro, 2009, Does financial market liberalization increase the degree of market efficiency?’, The case of Athens stock exchange, International Review of Financial Analysis, 18, 50, 10.1016/j.irfa.2008.11.004 Cao, 2013, Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA, Physica A, 392, 797, 10.1016/j.physa.2012.10.042 Chen, 2017, Understanding the multifractality in portfolio excess returns, Physica A, 466, 346, 10.1016/j.physa.2016.09.026 Chen, 2002, Effect of nonstationarities on detrended fluctuation analysis, Physical Review E, 65, 041, 10.1103/PhysRevE.65.041107 Cheung, 1995, A search for long memory in international stock market returns, Journal of International Money and Finance, 14, 597, 10.1016/0261-5606(95)93616-U Dockery, 1996, Testing the efficient market hypothesis using panel data with application to the Athens stock market, Applied Economics Letters, 3, 121, 10.1080/135048596356834 Fama, 1965, The behavior of stock market prices, Journal of Business, 38, 34, 10.1086/294743 Fama, 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance, 25, 383, 10.2307/2325486 Fama, 1991, Efficient capital markets: II, The Journal of Finance, 46, 1575, 10.1111/j.1540-6261.1991.tb04636.x Fama, 1988, Permanent and temporary components of stock prices, The Journal of Political Economy, 96, 246, 10.1086/261535 Harvey, 1995, Predictable risk and returns in emerging markets, The Review of Financial Studies, 8, 773, 10.1093/rfs/8.3.773 Hasan, 2015, Multifractal analysis of Asian markets during 2007–2008 financial crisis, Physica A, 419, 746, 10.1016/j.physa.2014.10.030 Horvatic, 2011, Boris Podobnik: Detrended cross-correlation analysis for non-stationary time series with periodic trends, Europhysics Letters, 94, 18007, 10.1209/0295-5075/94/18007 Huang, 2011, Arbitrary-order Hilbert spectral analysis for time series possessing scaling statistics: Comparison study with detrended fluctuation analysis and wavelet leaders, Physical Review E, 84, 10.1103/PhysRevE.84.016208 Jacobsen, 1996, Long term dependence in stock returns, Journal of Empirical Finance, 3, 393, 10.1016/S0927-5398(96)00009-6 Kantelhardt, 2002, Multifractal detrended fluctuation analysis of nonstationary time series, Physica A, 316, 87, 10.1016/S0378-4371(02)01383-3 Katsuragi, 2000, Evidence of multi-affinity in the Japanese stock market, Physica A, 278, 275, 10.1016/S0378-4371(00)00004-2 Lux, 1996, Long term stochastic dependence in financial prices: Evidence from German stock market, Applied Economics Letters, 3, 701, 10.1080/135048596355691 MacDonald, 1993, Stock prices, efficiency and cointegration: The case of the UK, International Review of Economics & Finance, 2, 251, 10.1016/1059-0560(93)90003-9 Mandelbrot, 1997, A multifractal model of asset returns Matteo, 2003, Scaling behaviours in differently developed markets, Physica A, 324, 183, 10.1016/S0378-4371(02)01996-9 Mensi, 2014, Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets: Evidence from the Hurst exponent and Shannon entropy methods, International Economics, 140, 89, 10.1016/j.inteco.2014.10.001 Mensi, 2017, Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis, Physica A, 471, 135, 10.1016/j.physa.2016.12.034 Ossadnik, 1994, Correlation approach to identify coding regions in DNA sequences, Biophysical Journal, 67, 64, 10.1016/S0006-3495(94)80455-2 Oświęcimka, 2006, Wavelet versus detrended fluctuation analysis of multifractal structures, Physical Review E, 74, 10.1103/PhysRevE.74.016103 Peng, 1994, Mosaic organization of DNA nucleotides, Physical Review E, 49, 1685, 10.1103/PhysRevE.49.1685 Peón, 2013, Playing with fire: Internal devaluation for the GIPSI countries, ISRN Economics, 2013, 20, 10.1155/2013/891795 Samuelson, 1965, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, 41 Sensoy, 2015, Time-varying long term memory in the European Union stock markets, Physica A, 436, 147, 10.1016/j.physa.2015.05.034 Sensoy, 2016, Dynamic efficiency of stock markets and exchange rates, International Review of Financial Analysis, 47, 353, 10.1016/j.irfa.2016.06.001 Shiller, 1984, Stock prices and social dynamics, Brookings Papers on Economic Activity, 2, 457, 10.2307/2534436 Summers, 1986, Does the stock market rationally reflect fundamental values?, The Journal of Finance, 41, 591, 10.1111/j.1540-6261.1986.tb04519.x Taqqu, 1995, Estimators for long-range dependence: An empirical study, Fractals, 3, 785, 10.1142/S0218348X95000692 Wang, 2009, Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis, International Review of Financial Analysis, 18, 271, 10.1016/j.irfa.2009.09.005 Zhang, 2018, Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program, Physica A, 503, 611, 10.1016/j.physa.2018.02.139 Zhu, 2018, Multifractal property of Chinese stock market in the CSI 800index based on MF-DFA approach, Physica A, 490, 497, 10.1016/j.physa.2017.08.060 Zunino, 2008, A multifractal approach to stock market inefficiency, Physica A, 387, 6558, 10.1016/j.physa.2008.08.028