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The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods

Ma, Baiquan; Ślepaczuk, Robert - 2022

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Applying hurst exponent in pair trading strategies

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An empirical study on efficient market hypothesis : the case of Indian capital markets

Kalsie, Anjala - In: Mudra : journal of finance and accounting 1 (2014) 2, pp. 71-83

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Stock market development and economic performance : the case of Mexico

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Time evolution of market efficiency and multifractality of the Japanese stock market

Takaishi, Tetsuya - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12

This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...

Persistent link: https://www.econbiz.de/10012814029