Horta, Paulo; Lagoa, Sérgio; Martins, Luís - In: International Review of Financial Analysis 35 (2014) C, pp. 140-153
This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, Portugal, the UK and US. We perform two innovative statistical tests...
