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dc.contributor.authorOnali, E
dc.contributor.authorGoddard, J
dc.date.accessioned2020-01-06T12:09:52Z
dc.date.issued2011-02-21
dc.description.abstractWe report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and long-range dependence is examined. Pre-filtering by fitting a (short-range) autoregressive model eliminates part of the long-range dependence when the latter is present, while failure to pre-filter leaves open the possibility of conflating short-range and long-range dependence. There is a strong evidence of long-range dependence for the small central European Czech stock market index PX-glob, and a weaker evidence for two smaller western European stock market indices, MSE (Spain) and SWX (Switzerland). There is little or no evidence of long-range dependence for the other five indices, including those with the largest capitalizations among those considered, DJIA (US) and FTSE350 (UK). These results are generally consistent with prior expectations concerning the relative efficiency of the stock markets examined. © 2011 Elsevier Inc.en_GB
dc.identifier.citationVol. 20, pp. 59 - 67en_GB
dc.identifier.doi10.1016/j.irfa.2011.02.004
dc.identifier.urihttp://hdl.handle.net/10871/40253
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.rights© 2011. This version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/en_GB
dc.subjectMarket efficiencyen_GB
dc.subjectFractal analysisen_GB
dc.subjectRandom walk hypothesisen_GB
dc.titleAre European equity markets efficient? New evidence from fractal analysisen_GB
dc.typeArticleen_GB
dc.date.available2020-01-06T12:09:52Z
dc.identifier.issn1057-5219
dc.descriptionThis is the author accepted manuscript. The final version is available from the publisher via the DOI in this recorden_GB
dc.identifier.journalInternational Review of Financial Analysisen_GB
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en_GB
dcterms.dateAccepted2011-02-13
rioxxterms.versionAMen_GB
rioxxterms.licenseref.startdate2011-02-13
rioxxterms.typeJournal Article/Reviewen_GB
refterms.dateFCD2020-01-06T11:56:52Z
refterms.versionFCDAM
refterms.dateFOA2020-01-06T12:09:58Z
refterms.panelCen_GB


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© 2011. This version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Except where otherwise noted, this item's licence is described as © 2011. This version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/