Ranking efficiency for emerging markets

By Daniel Oliveira Cajueiro, Benjamin Miranda Tabak. 2004

203 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5688105bab6f4d6a0c2c2180c2434b411cd0cbb1

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Citations in the corpus

Do emerging markets become more efficient as they develop? Long memory persistence in equity indices (2014, background): “Our analysis builds upon the empirical work of previous researchers, most notably Cajueiro and Tabak (2004b).”
Measuring capital market efficiency: Global and local correlations structure (2012, background): “The relationship between long-term memory, predictability and potential efficiency has been discussed in numerous studies [9, 10, 11, 18, 19, 20] and in many cases, the less developed markets were characterized by signs of long-term memory.”
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).”
Forbidden patterns, permutation entropy and stock market inefficiency (2009, background): “Several authors have proposed the Hurst parameter as a measure of the stock market inefficiency [7–16].”
Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2013, background): “The presence of multifractality suggests the inefficiency [1–6], volatility predictability [7], crash predictions [8,9], and complexity [10–12] of the market.”
Some stylized facts of the Bitcoin market (2017, background): “Cajueiro and Tabak [21] find that developed markets are more infor151 mationally efficient than emerging markets and that the level of efficiency is 152 influenced by market size and trading costs.”
Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency (2010, background): “Several authors have proposed the Hurst parameter as a measure of the stock market inefficiency [6–8,11–18].”
A multifractal approach for stock market inefficiency (2008, unknown): “[27,28] and Cajueiro and Tabak [29,30].”