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

被引：29

作者：

Mensi, Waild ^{[1
,2
]}

Tiwari, Aviral Kumar ^{[3
]}

Al-Yahyaee, Khamis Hamed ^{[2
]}

机构：

[1] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

[2] Sultan Qaboos Univ, Coll Econ & Polit Sci, Dept Econ & Finance, Muscat, Oman

[3] Montpellier Business Sch, ESD, Montpellier, France

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2019年 / 72卷

关键词：

Stock markets; Multifractality; Long memory; Efficiency; MF-DFA; Hurst exponent; DEPENDENCE; PRICES;

D O I：

10.1016/j.qref.2018.12.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The study investigates the time varying efficiency of five European GIPSI stock markets, compared to global and regional U.S. markets. Using the MF-DFA approach, we show evidence of long memory in both short and long term for all markets. Furthermore, the long memory is more pronounced in the long term than in the short term. Finally, Greece is the highest inefficient market, whatever is the time horizons, while Portugal and Ireland markets are the least inefficient in the short and long term, respectively. Global and regional stock markets are less efficient than GIPSI (except Greece) markets in the short term. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：168 / 177

页数：10

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