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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
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Are frontier African markets inefficient or adaptive? : application of rolling GARCH models
Obalade, Adefemi Alamu; Tshutsha, Akona; Mvuyana, Lungelo; … - In: Journal of Economics and Financial Analysis 6 (2022) 1, pp. 19-35
Persistent link: https://www.econbiz.de/10013350512
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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 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/10013201335
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Time-varying long range dependence in energy futures markets
Sensoy, Ahmet; Hacihasanoglu, Erk - In: Energy economics 46 (2014), pp. 318-327
Persistent link: https://www.econbiz.de/10011298582
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One model is not enough : heterogeneity in cryptocurrencies' multifractal profiles
Bariviera, Aurelio Fernández - In: Finance research letters 39 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805488
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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis
Mensi, Walid; Lee, Yun Jung; Al-Yahyaee, Khamis Hamed; … - In: Finance research letters 31 (2019), pp. 19-25
Persistent link: https://www.econbiz.de/10012420970
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Foreign portfolio flows and emerging stock market : is the midnight bell ringing in India?
Hiremath, Gourishankar S.; Kattuman, Paul A. - In: Research in international business and finance 42 (2017), pp. 544-558
Persistent link: https://www.econbiz.de/10011750502
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Cryptocurrency market efficiency in short- and long-term horizons during COVID-19 : an asymmetric multifractal analysis approach
Kakinaka, Shinji; Umeno, Ken - In: Finance research letters 46 (2022) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10013341427
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Time-varying long range dependence in energy futures markets
Sensoy, Ahmet; Hacihasanoglu, Erk - In: Energy Economics 46 (2014) C, pp. 318-327
This study aims to investigate the presence of long-range dependence in energy futures markets. Using a daily dataset covering from 1990 to 2013 (which includes crucial events for energy markets such as invasion of Iraq and global financial crisis of 2008), we estimate time-varying generalized...
Persistent link: https://www.econbiz.de/10011115882
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Adaptive market hypothesis : evidence from the Ghanaian stock market
Gyamfi, Emmanuel Numapau - In: Journal of African business 19 (2018) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10011930385