Sensoy, A. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 20, pp. 5019-5026
We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA...