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Byline: Daniel O. Cajueiro (a), Periklis Gogas (b), Benjamin M.
Greek stock market; Global Hurst exponents; Long memory; Emerging
markets; Financial market liberalization
In this paper we assess if the financial market liberalization
introduced in the beginning of the 1990s in Greece has changed the
degree of market development (efficiency) by studying time-varying
global Hurst exponents. Our results suggest that changes in financial
market liberalization have important positive implications on the degree
of development of stock markets. These results have important policy
implications for the development of stock markets around the world.
(a) Universidade de Brasilia, Brazil
(b) Democritus University of Thrace, Greece
(c) Banco Central do Brasil, Brazil
(d) Universidade Catolica de Brasilia, Brazil
Received 3 November 2008; Revised 14 November 2008; Accepted 24