The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient

By Daniel Oliveira Cajueiro, Benjamin Miranda Tabak. 2004

407 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/eebc4f8e7b5437bd12cf80bb28be2c6a23247b5b

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Citations in the corpus

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.”
Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency (2010, background): “[13] for a discussion on evolution of financial markets over time.”
Long-range dependence and multifractality in the term structure of LIBOR interest rates (2007, background): “and Tabak [1,2] for a discussion on long-range dependence on equity returns and volatility, respectively.”
Financial crisis and stock market efficiency: Empirical evidence from Asian countries (2008, background): “The subsequent analysis extends the work of Cheong et al. (2007) who assessed the relative efficiency of Malaysian stock market in four sub-periods: pre-crisis, crisis, USD pegged and postcrisis.”
Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics (2020, background): “But the most widespread indicator of market efficiency seems to be the Hurst exponent [51, 13, 56, 28].”
Multi-scaling in finance (2007, background): “Despite these difficulties, several authors are still using this estimator, trying to avoid Lo’s critique and proposing filtering procedures (Cajueiro and Tabak 2004, 2005).”
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.”
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].”
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).”