Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions

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Forbidden patterns, permutation entropy and stock market inefficiency (2009, background): “It was also shown that the liquidity and market capitalization play an important role in understanding the market inefficiency [6].”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “…2006), rolling bicorrelation test (Lim, 2007; Todea and Zoicas-Ienciu, 2008), rolling parameters of ARCH models (Degiannakis et al., 2008; Alagidede and Panagiotidis, 2009a) and rolling Hurst exponent (Costa and Vasconcelos, 2003; Cajueiro and Tabak, 2004b, 2005d, 2006, 2008; Zunino et al., 2007).”
Measuring capital market efficiency: Global and local correlations structure (2012, background): “Cajueiro & Tabak [8] rank the markets according to their efficiency and suggest that Hong Kong stock exchange is the most efficient one followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which indicates that liquidity and capital restrictions should be taken into c”
Some stylized facts of the Bitcoin market (2017, methodology): “In order to assess the change in time in long range memory, following [14, 13], we use sliding windows.”