Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange Cajueiro, Daniel O.; Gogas, Periklis; Tabak, Benjamin M.

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Authors
Cajueiro, Daniel O. ; Gogas, Periklis ; Tabak, Benjamin M.
Appears In
International Review of Financial Analysis
Subjects
Stock markets; Stocks; Memory
Audience
Academic
Summary
To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.irfa.2008.11.004 Byline: Daniel O. Cajueiro (a), Periklis Gogas (b), Benjamin M. Tabak (c)(d) Keywords: Greek stock market; Global Hurst exponents; Long memory; Emerging markets; Financial market liberalization Abstract: 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. Author Affiliation: (a) Universidade de Brasilia, Brazil (b) Democritus University of Thrace, Greece (c) Banco Central do Brasil, Brazil (d) Universidade Catolica de Brasilia, Brazil Article History: Received 3 November 2008; Revised 14 November 2008; Accepted 24 November 2008
Bookmark
http://trove.nla.gov.au/work/9463
Work ID
9463

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