Journal ArticleDOI
Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries
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In this article, the authors analyzed the long memory property of stock index returns in 14 markets with diverse levels of development, including developed stock markets of Japan, UK and USA, in addition to emerging markets of Brazil, India and Mexico, those of eight Arab countries as benchmarks of thin markets with the aim of investigating the link between fractional integration dynamics in stock returns and the level of stock market development.Abstract:
The paper analyzes the long memory property of stock index returns in 14 markets with diverse levels of development. While the sample includes the developed stock markets of Japan, UK and USA, it also includes, in addition to the emerging markets of Brazil, India and Mexico, those of eight Arab countries as benchmarks of thin markets with the aim of investigating the link between fractional integration dynamics in stock returns and the level of stock market development. Using parametric and semi-parametric estimation procedures, the results show that the property of long-range dependence in stock index returns tend to be associated with relatively thin stock markets. Evidence from the Arab countries seems to suggest that long-memory might also be linked to the peculiar characteristics and the environment within which each stock market operates.read more
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Hurst exponent behavior and assessment of the MENA stock markets efficiency
Imen Zgueb Rejichi,Chaker Aloui +1 more
TL;DR: In this paper, a rolling sample with a time window of 4 years was used to test the evolving efficiency of MENA stock markets, and the results showed that all the stock returns exhibit long-range memory and certain markets are becoming more efficient.