English, Article edition: Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets Aktham Maghyereh

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets
Author
  • Aktham Maghyereh
Physical Description
  • article
Notes
  • The financial rates of return from Middle East and North African markets are found to be nonnormal, nonstationary and long-range dependent, i.e. they have long memory. The degree of long-term dependence is measured by Hurst exponents using local Whittle method which is a semi-parametric method that presents robustness to data seasonality and short-range dependence. Our long-term results are consistent with similar empirical findings from American, European and Asian financial markets. Therefore, the article extends the domain of the empirical investigation of the dynamics characteristics of the global financial markets and disproves the hypothesis of perfectly efficient financial markets.
  • RePEc:taf:apfelt:v:3:y:2007:i:6:p:365-371
Language
  • English
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